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Unformatted text preview: . Furthermore, the rate of convern gence depends on how fast [(λ − α)/(λi − α)] → 0, and this can be slow when there is another eigenvalue λi close to the desired λ. If λi is too close to λ, roundoff error can divert inverse iteration toward an eigenvector associated with λi instead of λ in spite of a theoretically correct α. D E T H IG R Y P O C Note: In the standard version of inverse iteration a constant value of α is used at each step to approximate an eigenvalue λ, but there is variation called Rayleigh quotient iteration that uses the current iterate xn to improve the value of α at each step by setting α = xT Axn /xT xn . The function R(x) = xT Ax/xT x is n n called the Rayleigh quotient. It can be shown that if x is a good approximation to an eigenvector, then R(x) is a good approximation of the associated eigenvalue. More is said about this in Example 7.5.1 (p. 549). Example 7.3.9 The QR Iteration algorithm for computing the eigenvalues of a general matrix came from an elegantly simple idea that was proposed by Heinz Rutishauser in 1958 and refined by J. F. G. Francis in 1961-1962. The underlying concept is to alternate between computing QR factors (Rutishauser used LU factors) and Copyright c 2000 SIAM Buy online from SIAM http://www.ec-securehost.com/SIAM/ot71.html Buy from AMAZON.com 536 Chapter 7 Eigenvalues and Eigenvectors http://www.amazon.com/exec/obidos/ASIN/0898714540 reversing their order as shown below. Starting with A1 = A ∈ n×n , Factor: A1 = Q1 R1 , Set: A2 = R1 Q1 , Factor: A2 = Q2 R2 , It is illegal to print, duplicate, or distribute this material Please report violations to meyer@ncsu.edu Set: A3 = R2 Q2 , . . . In general, Ak+1 = Rk Qk , where Qk and Rk are the QR factors of Ak . Notice that if Pk = Q1 Q2 · · · Qk , then each Pk is an orthogonal matrix such that PT AP1 = QT Q1 R1 Q1 = A2 , 1 1 PT AP2 = QT QT AQ1 Q2 = QT A2 Q2 = A3 , 2 2 1 2 . . . D E T H PT APk = Ak+1 . k In other words, A2 , A3 , A4 , . . . are each orthogonally similar to A, and...
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This document was uploaded on 03/06/2014 for the course MA 5623 at City University of Hong Kong.

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