eigifp is a MATLAB program for computing a few extreme eigenvalues and eigenvectors of the large symmetric generalized eigenvalue problem $Ax = \lambda Bx$. It is a black-box implementation of an inverse free preconditioned Krylov subspace projection method developed by Golub and Ye [2002]. It has important features that allow it to solve some difficult problems without any input from users. It is particularly suitable for problems where preconditioning by the standard shift-and-invert transformation is not feasible. (Source: http://dl.acm.org/)

This software is also peer reviewed by journal TOMS.

References in zbMATH (referenced in 39 articles , 2 standard articles )

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  1. Bai, Zhong-Zhi; Miao, Cun-Qiang: Computing eigenpairs of Hermitian matrices in perfect Krylov subspaces (2019)
  2. Choi, Young-Geun; Lim, Johan; Roy, Anindya; Park, Junyong: Fixed support positive-definite modification of covariance matrix estimators via linear shrinkage (2019)
  3. Jiang, Rujun; Li, Duan: Novel reformulations and efficient algorithms for the generalized trust region subproblem (2019)
  4. Miao, Cun-Qiang; Liu, Hao: Rayleigh quotient minimization method for symmetric eigenvalue problems (2019)
  5. Pandur, Marija Miloloža: Preconditioned gradient iterations for the eigenproblem of definite matrix pairs (2019)
  6. Wu, Lingfei; Xue, Fei; Stathopoulos, Andreas: TRPL+K: thick-restart preconditioned Lanczos+K method for large symmetric eigenvalue problems (2019)
  7. Miao, Cun-Qiang: Computing eigenpairs in augmented Krylov subspace produced by Jacobi-Davidson correction equation (2018)
  8. Oliveira, Danilo Elias; Wolkowicz, Henry; Xu, Yangyang: ADMM for the SDP relaxation of the QAP (2018)
  9. Salahi, M.; Taati, A.: An efficient algorithm for solving the generalized trust region subproblem (2018)
  10. Bai, Zhong-Zhi; Miao, Cun-Qiang: On local quadratic convergence of inexact simplified Jacobi-Davidson method for interior eigenpairs of Hermitian eigenproblems (2017)
  11. Bai, Zhong-Zhi; Miao, Cun-Qiang: On local quadratic convergence of inexact simplified Jacobi-Davidson method (2017)
  12. Spantini, Alessio; Cui, Tiangang; Willcox, Karen; Tenorio, Luis; Marzouk, Youssef: Goal-oriented optimal approximations of Bayesian linear inverse problems (2017)
  13. Wu, Lingfei; Romero, Eloy; Stathopoulos, Andreas: PRIMME_SVDS: a high-performance preconditioned SVD solver for accurate large-scale computations (2017)
  14. Bai, ZhaoJun; Li, RenCang; Lin, WenWei: Linear response eigenvalue problem solved by extended locally optimal preconditioned conjugate gradient methods (2016)
  15. Imakura, Akira; Li, Ren-Cang; Zhang, Shao-Liang: Locally optimal and heavy ball GMRES methods (2016)
  16. Liang, Qiao; Ye, Qiang: Deflation by restriction for the inverse-free preconditioned Krylov subspace method (2016)
  17. Ma, ShiQian; Yang, JunFeng: Applications of gauge duality in robust principal component analysis and semidefinite programming (2016)
  18. Vecharynski, Eugene; Yang, Chao; Xue, Fei: Generalized preconditioned locally harmonic residual method for non-Hermitian eigenproblems (2016)
  19. Spantini, Alessio; Solonen, Antti; Cui, Tiangang; Martin, James; Tenorio, Luis; Marzouk, Youssef: Optimal low-rank approximations of Bayesian linear inverse problems (2015)
  20. Szyld, Daniel B.; Vecharynski, Eugene; Xue, Fei: Preconditioned eigensolvers for large-scale nonlinear Hermitian eigenproblems with variational characterizations. II. Interior eigenvalues (2015)

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