Convergence analysis of vector extended locally optimal block preconditioned extended conjugate gradient method for computing extreme eigenvalues
Peter Benner, Xin Liang · Numerical Linear Algebra with Applications · 2022
Abstract This article is concerned with the convergence analysis of an extension of the locally optimal preconditioned conjugate gradient method for the extreme eigenvalue of a Hermitian matrix polynomial that possesses some extended form of Rayleigh quotient. This work is a generalization of the analysis by Ovtchinnikov (SIAM J Numer Anal. 2008;46(5):2567–92.). As instances, the algorithms for definite matrix pairs and hyperbolic quadratic matrix polynomials are shown to be globally convergent and to have an asymptotically local convergence rate. Also, numerical examples are given to illustrate the convergence behavior.