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Implicitly restarted Arnoldi with purification for the shift-invert transformation. (English) Zbl 0864.65020
Summary: The need to determine a few eigenvalues of a large sparse generalised eigenvalue problem \(Ax= \lambda Bx\) with positive semidefinite \(B\) arises in many physical situations, for example, in a stability analysis of the discretised Navier-Stokes equation. A common technique is to apply Arnoldi’s method to the shift-invert transformation, but this can suffer from numerical instabilities as is illustrated by a numerical example. In this paper, a new method that avoids instabilities is presented which is based on applying the implicitly restarted Arnoldi method with the \(B\) semi-inner product and a purification step. The paper contains a rounding error analysis and ends with brief comments on some extensions.

MSC:
65F15 Numerical computation of eigenvalues and eigenvectors of matrices
65F50 Computational methods for sparse matrices
Software:
eigs
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