RDNumeric::EigenSolvers Namespace Reference

Functions
bool	powerEigenSolver (unsigned int numEig, DoubleSymmMatrix &mat, DoubleMatrix &eigenVectors, DoubleVector &eigenValues, int seed=-1)
	Compute the numEig largest eigenvalues and the corresponding eigenvectors.

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Function Documentation

bool RDNumeric::EigenSolvers::powerEigenSolver	(	unsigned int	numEig,
		DoubleSymmMatrix &	mat,
		DoubleMatrix &	eigenVectors,
		DoubleVector &	eigenValues,
		int	seed = -1
	)

Compute the numEig largest eigenvalues and the corresponding eigenvectors.

Parameters:

	numEig	the number of eigenvalues we are interested in
	mat	symmetric input matrix of dimension N*N
	eigenVectors	Matrix used to return the eigenvectors (size = N*numEig)
	eigenValues	Vector used to return the eigenvalues (size = numEig)
	seed	Optional values to seed the random value generator used to initialize the eigen vectors

Returns:

a boolean indicating whether or not the calculation converged.

Notes:

• The matrix, mat, is changed in this function

Algorithm:

We use the iterative power method, which works like this:

     u = arbitrary unit vector
     tol = 0.001
     currEigVal = 0.0;
     prevEigVal = -1.0e100
     while (abs(currEigVal - prevEigVal) > tol) :
         v = Au
         prevEigVal = currEigVal
         currEigVal = v[i] // where i is the id os the largest absolute component
         u = c*v
    

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