Large-Scale Computation of Pseudospectra Using ARPACK and Eigs
Thomas Goddard Wright, Lloyd N. Trefethen · SIAM Journal on Scientific Computing · 2001
ARPACK and its {\sc Matlab} counterpart, {\tt eigs}, are software packages that calculate some eigenvalues of a large nonsymmetric matrix by Arnoldi iteration with implicit restarts. We show that at a small additional cost, which diminishes relatively as the matrix dimension increases, good estimates of pseudospectra in addition to eigenvalues can be obtained as a by-product. Thus in large-scale eigenvalue calculations it is feasible to obtain routinely not just eigenvalue approximations, but also information as to whether or not the eigenvalues are likely to be physically significant. Examples are presented for matrices with dimension up to 200,000.