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Jacobi-Davidson Method on Low-Rank Matrix Manifolds

SIAM Journal of Scientific Computing. 2018. Vol. 40. No. 2. P. A1149–A1170.
Rakhuba M., Oseledets I.

In this work we generalize the Jacobi--Davidson method to the case when the eigenvector can be reshaped into a low-rank matrix. In this setting the proposed method inherits the advantages of the original Jacobi--Davidson method, has lower complexity, and requires less storage. We also introduce a low-rank version of the Rayleigh quotient iteration which naturally arises in the Jacobi--Davidson method.

Priority areas: IT and mathematics
Language: English
DOI
Text on another site
Keywords: eigenvalue problemRiemannian optimizationJacobi-Davidsonlow-rank approximation
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