[eigen] finding dominant eigenvalue/vector : is Power Iteration the best method? |

[ Thread Index |
Date Index
| More lists.tuxfamily.org/eigen Archives
]

`Does anyone know of a faster way of getting a decent (e.g. RMSE<1e-4)
``estimate of the single most dominant eigenvalue and a vector in its
``eigenspace?
`
http://en.wikipedia.org/wiki/Power_iteration

`Other may converge with faster "big O" complexity per iteration (Inverse
``Iteration, Rayleigh quotient iteration) , but they often require
``inverting the matrix or solving a system per iteration, which seems to
``inflate the cost per iteration considerably compared to a simple
``matrix-by-vector multiply and normalization.
`
-- Mark