An Implicit Riemannian Trust-Region Method for the Symmetric Generalized Eigenproblem

摘要

The recently proposed Riemannian Trust-Region method can be applied to the problem of computing extreme eigenpairs of a matrix pencil, with strong global convergence and local convergence properties. This paper addresses inherent inefficiencies of an explicit trust-region mechanism. We propose a new algorithm, the Implicit Riemannian Trust-Region method for extreme eigenpair computation, which seeks to overcome these inefficiencies while still retaining the favorable convergence properties.