A Grassmann--Rayleigh Quotient Iteration for Computing Invariant Subspaces
P.-A. Absil, Robert E. Mahony, Rodolphe J. Sepulchre, Paul Van Dooren · SIAM Review · 2002
The classical Rayleigh quotient iteration (RQI) allows one to compute a one-dimensional invariant subspace of a symmetric matrix A. Here we propose a generalization of the RQI which computes a p-dimensional invariant subspace of A. Cubic convergence is preserved and the cost per iteration is low compared to other methods proposed in the literature.