EIGENVALUES
Symmetric
The program irbleigs.m is a MATLAB program for computing a few eigenvalues and
associated eigenvectors located anywhere in spectrum of a large sparse Hermitian matrix. The
irbleigs.m program is matrix-free, i.e., the matrix is accessed only
through the evaluation of matrix-vector products. In particular the factorization of A is
not demanded, nor is the solution of linear systems of equations with the matrix A.
The code can also compute the generalized eigenpairs of certain
generalized eigenvalue problems. A MATLAB GUI demo irbldemo.m
is an easy to use interface with irbleigs.m that allows the user to quickly change
the parameter options in irbleigs.m. This helps illustrates the different choices for the
parameters available in irbleigs.m.
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Click here
to download the MATLAB code irbleigs.m. |
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Click here
to download the MATLAB GUI demo irbldemo.m. |
Non-Symmetric
The program ahbeigs.m is a MATLAB program for computing a few eigenvalues and
associated eigenvectors located anywhere in spectrum of a large sparse non-symmetric matrix.
The program ahbeigs.m is based on a block Arnoldi method that makes use of Householder
reflections to maintain orthogonality and restarting is accomplished by augmentation of the
Krylov subspace with Schur vectors. No factorization is required in order to find extreme
eigenvalues, however factorization is performed when searching for non-extreme eigenvalues.
The program can solve the standard or the generalized eigenvalue problem. Research supported
by NSF grant DMS-0311786.
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Click here
to download the MATLAB code ahbeigs.m. |
SINGULAR VALUES
The routine irblsvds.m is a MATLAB program for computing
a few singular values and singular vectors of a m x n matrix A.
irblsvds.m uses the (m+n) x (m+n) Hermitian matrix Z = [0 A; A' 0] and calls
irbleigs.m to find a few eigenvalues and eigenvectors of the matrix Z.
The singular values of A are the positive eigenvalues of Z, the "right" singular
vectors V, correspond to the last n elements of the eigenvectors of Z, and the
"left" singular vectors U, correspond to the first m elements of the eigenvectors of Z.
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Click here
to download the MATLAB code irblsvds.m. |
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The routines irlba.m and irlbablk.m are MATLAB programs
for computing a few singular
values and singular vectors of a m x n matrix A. irlba.m is a restarted
Lanczos bidiagonalization method and irlbablk.m is
a restarted block Lanczos bidiagonalization method.
Restarting is carried out by
augmentation of Krylov subspaces with either Ritz vectors or harmonic Ritz
vectors.
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Click here
to download the MATLAB code irlba.m. |
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Click here
to download the block MATLAB code irlbablk.m. |
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Click here
to download the matrix hypatia.gz. |
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The code irlba has also been written in the language R by Bryan Lewis.
Click here
for the video and slides. |
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Click here
for the R verison of the code irlba. Code is maintained by Bryan Lewis. |
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Click here
for the R package on CRAN for the code irlba. Code is maintained by Bryan Lewis. |
LEAST SQUARES
The routine alsqr.m is a MATLAB program for computing
the solution of min ||Ax-b|| where A is an (m x n) matrix,
b an (m x 1) vector, and x is an (n x 1)
vector. b is not assumed to be in span(Col(A)). The routine alsqr.m
is an augmented preconditioned LSQR method. The
preconditioner is computed via an augmented Lanczos
bidiagonalization method with harmonic Ritz vectors. The program then
runs LSQR on the preconditioned system.
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Click here
to download the MATLAB code alsqr.m. |