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In numerical analysis, inverse iteration (also known as the inverse power method) is an iterative eigenvalue algorithm. It allows one to find an approximate eigenvector when an approximation to a corresponding eigenvalue is already known. The method is conceptually similar to the power method. It appears to have originally been developed to ...
However, in practical large-scale eigenvalue methods, the eigenvectors are usually computed in other ways, as a byproduct of the eigenvalue computation. In power iteration, for example, the eigenvector is actually computed before the eigenvalue (which is typically computed by the Rayleigh quotient of the eigenvector). [11]
Power iteration for (A − μ i I) −1, where μ i for each iteration is the Rayleigh quotient of the previous iteration. Preconditioned inverse iteration [12] or LOBPCG algorithm: positive-definite real symmetric: eigenpair with value closest to μ: Inverse iteration using a preconditioner (an approximate inverse to A). Bisection method: real ...
In mathematics, power iteration (also known as the power method) is an eigenvalue algorithm: given a diagonalizable matrix, the algorithm will produce a number , which is the greatest (in absolute value) eigenvalue of , and a nonzero vector , which is a corresponding eigenvector of , that is, =.
Rayleigh quotient iteration is an eigenvalue algorithm which extends the idea of the inverse iteration by using the Rayleigh quotient to obtain increasingly accurate eigenvalue estimates. Rayleigh quotient iteration is an iterative method, that is, it delivers a sequence of approximate solutions that converges to a true solution in the limit ...
The Lanczos algorithm is most often brought up in the context of finding the eigenvalues and eigenvectors of a matrix, but whereas an ordinary diagonalization of a matrix would make eigenvectors and eigenvalues apparent from inspection, the same is not true for the tridiagonalization performed by the Lanczos algorithm; nontrivial additional steps are needed to compute even a single eigenvalue ...
The first numerical algorithm for computing eigenvalues and eigenvectors appeared in 1929, when Richard von Mises published the power method. One of the most popular methods today, the QR algorithm, was proposed independently by John G. F. Francis [18] and Vera Kublanovskaya [19] in 1961. [20] [21]
The root-finding procedure has three stages that correspond to different variants of the inverse power iteration. See Jenkins and Traub. [2] A description can also be found in Ralston and Rabinowitz [3] p. 383. The algorithm is similar in spirit to the two-stage algorithm studied by Traub. [4]