Estimating the largest eigenvalue of a positive definite matrix
Dianne Prost O’Leary, G. W. Stewart, James S. Vandergraft · Mathematics of Computation · 1979
The power method for computing the dominant eigenvector of a positive definite matrix will converge slowly when the dominant eigenvalue is poorly separated from the next largest eigenvalue. In this note it is shown that in spite of this slow convergence, the Rayleigh quotient will often give a good approximation to the dominant eigenvalue after a very few iterations-even when the order of the matrix is large.