A spectral Newton-Schur algorithm for the solution of symmetric generalized eigenvalue problems

Abstract

This paper proposes a numerical algorithm based on spectral Schur complements to compute a few eigenvalues and the associated eigenvectors of symmetric matrix pencils. The proposed scheme follows an algebraic domain decomposition viewpoint and transforms the generalized eigenvalue problem into one of computing roots of scalar functions. These scalar functions are defined so that their roots are equal to the eigenvalues of the original pencil, and these roots are computed by Newton's method. We describe the theoretical aspects of the proposed scheme and demonstrate its performance on a few test problems.