A Jacobi-Davidson like SVD method
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Publication date
2000-01-01
Authors
Hochstenbach, Michiel Erik
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Abstract
We discuss a new method for the iterative computation of a portion of the singular values and vectors of a large sparse matrix Similar to the JacobiDavidson method for the eigenvalue problem we compute in each step a correction by approximately solving a correction equation We give a few variants of this JDSVD method with their theoretical properties It is shown that JDSVD can be seen as an accelerated inexact Newton scheme We experimentally compare the method with some other iterative SVD methods
Keywords
JacobiDavidson Singular Value Decomposition (SVD), singular values, singular vectors, norm, augmented matrix, correction equation, (inexact) accelerated Newton, improving singular values