《150 Years old and still alive eigenproblems》.pdf

150 Years old and still alive: eigenproblems Henk A. van der Vorst Utrech t University Gene H. Golub Stanford University Dedicated to J.H. Wilkinson th on the 10 A nniversary of his death 1 Intro duction Linear eigenproblems continue to b e an imp ortant and highly relevant area of research in numerical linear algebra. Therefore, it should b e no surprise that nu- merical algorithms for eigenproblems are among the oldest known in the mo dern literature. In 1846, exactly 150 years ago, Jacobi [33] wrote his famous pap er on T the computation of solutions for the problem Ax = x , with A = A . Strictly sp eaking, this is not correct, since matrix notation was unknown at that time. So Jacobi formulated the problem in terms of systems of equations, written out elementwise. His pap er contains computational elements that are still in use, like the plane rotations for making a system more diagonally dominant, and the (Gauss)-Jacobi iteration metho d for diagonally dominant systems. These elements were combined in his approach for the computation of eigenvalues, to- gether with a clever way of setting up a correction equation for eigenvalue and eigenvector approximations. Later on other metho ds b ecame p opular, such as the Power iteration metho d, and, when to ols b ecame more sophisticated, eigenproblems other than the stan- dard Ax = x problem required solution: for instance, the generalized eigen- problems Ax = B x , higher order p olynomial eigenproblems