An analysis of the Rayleigh-Ritz method for approximating eigenspaces

This paper concerns the Rayleigh-Ritz method for computing an approximation to an eigenspace of a general matrix from a subspace that contains an approximation to . The method produces a pair that purports to approximate a pair , where is a basis for and . In this paper we consider the convergence of as the sine of the angle between and approaches zero. It is shown that under a natural hypothesis--called the uniform separation condition--the Ritz pairs converge to the eigenpair . When one is concerned with eigenvalues and eigenvectors, one can compute certain refined Ritz vectors whose convergence is guaranteed, even when the uniform separation condition is not satisfied. An attractive feature of the analysis is that it does not assume that has distinct eigenvalues or is diagonalizable.