[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



Mail converted by MHonArc 2.6.19+ http://listengine.tuxfamily.org/