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Arnoldi and Jacobi-Davidson methods for generalized eigenvalue problems \(Ax=\lambda Bx\) with singular \(B\). (English) Zbl 1133.65020
Summary: In many physical situations, a few specific eigenvalues of a large sparse generalized eigenvalue problem \( Ax=\lambda Bx\) are needed. If exact linear solvers with \( A-\sigma B\) are available, implicitly restarted Arnoldi with purification is a common approach for problems where \( B\) is positive semidefinite.
In this paper, a new approach based on implicitly restarted Arnoldi is presented that avoids most of the problems due to the singularity of \( B\). Secondly, if exact solvers are not available, Jacobi-Davidson QZ will be presented as a robust method to compute a few specific eigenvalues. The results are illustrated by numerical experiments.

MSC:
65F15 Numerical computation of eigenvalues and eigenvectors of matrices
65F50 Computational methods for sparse matrices
Software:
JDQR; JDQZ; ARPACK; IRAM
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