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Re: Eigensystems

  • To: mathgroup at
  • Subject: [mg18906] Re: Eigensystems
  • From: Eckhard Hennig <hennig at>
  • Date: Mon, 26 Jul 1999 14:27:47 -0400
  • Organization: ITWM
  • References: <7nef9i$>
  • Sender: owner-wri-mathgroup at

Tony Harker wrote in message <7nef9i$238 at>...
>  Can anybody recommend an efficient method for solving the modified
>       A x = lambda B x
>numerically in Mathematica?

Dear Tony,

this question is raised every now and then in this newsgroup, and the
answers are usually on the line of "Try solving B^(-1)A - lambda x = 0. If B
is singular, then add some small perturbations first." To obtain a *useful*
;-) answer, you need to give some more details of the generalized eigenvalue
problem (GEP) you wish to solve. The answers to the following questions will
help to tell whether a particular numerical algorithm is appropriate (and
efficient) for your applications.

- how large is your GEP?
- is the GEP symmetric?
- is the GEP sparse or dense?
- is B singular (presumably, it is)?
- is rank(B) approximately equal to dim(B) or is rank(B) << dim(B)?
- what is the typical spectral radius of your GEPs (i.e. stiff or non-stiff
- do you need to compute the complete spectrum or just one (or a few)
- do you need to compute the (left and/or right) eigenvectors?
- for a particular GEP, can you specify good initial guesses for the
eigenpairs of interest?
- do you wish to solve parametric GEPs efficiently (i.e. track one or more
eigenvalues as some parameters are varied)?

Best regards,


Dipl.-Ing. Eckhard Hennig      mailto:hennig at
Institut fuer Techno- und Wirtschaftsmathematik e.V. (ITWM)
Erwin-Schroedinger-Strasse,  67663 Kaiserslautern,  Germany
  Voice: +49-(0)631-205-3126    Fax: +49-(0)631-205-4139

     ITWM - Makers of Analog Insydes for Mathematica

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