A Thick-Restart Lanczos Algorithm with Polynomial Filtering for Hermitian Eigenvalue Problems
Ruipeng Li, Yuanzhe Xi, Eugene Vecharynski, Chao Yang, Yousef El-Mabruk Saad · SIAM Journal on Scientific Computing · 2016
Polynomial filtering can provide a highly effective means of computing all eigenvalues of a real symmetric (or complex Hermitian) matrix that are located in a given interval, anywhere in the spectrum. This paper describes a technique for tackling this problem by combining a thick-restart version of the Lanczos algorithm with deflation (``locking'') and a new type of polynomial filter obtained from a least-squares technique. The resulting algorithm can be utilized in a “spectrum-slicing” approach whereby a very large number of eigenvalues and associated eigenvectors of the matrix are computed by extracting eigenpairs located in different subintervals independently from one another.