An algorithm for the symmetric generalized eigenvalue problem |
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Authors: | A Bunse-Gerstner |
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Institution: | Fakultät für Mathematik Universität Bielefeld Postfach 8640 4800 Bielefeld 1, West Germany |
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Abstract: | A new method is presented for the solution of the matrix eigenvalue problem Ax=λBx, where A and B are real symmetric square matrices and B is positive semidefinite. It reduces A and B to diagonal form by congruence transformations that preserve the symmetry of the problem. This method is closely related to the QR algorithm for real symmetric matrices. |
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