Report 2009-05

A block Newton method for nonlinear eigenvalue problems

D. Kressner

Abstract: We consider matrix eigenvalue problems that are nonlinear in the eigenvalue parameter. One of the most fundamental differences to the linear case is that distinct eigenvalues may have linearly dependent eigenvectors or even share the same eigenvector. This has been a severe hindrance in the development of general numerical schemes for computing several eigenvalues of a nonlinear eigenvalue problem, either simultaneously or subsequently. The purpose of this work is to show that the concept of invariant pairs offers a way of representing eigenvalues and eigenvectors that is insensitive to this phenomenon. To demonstrate the use of this concept in the development of numerical methods, we have developed a novel block Newton method for computing such invariant pairs. Algorithmic aspects of this method are considered and a few academic examples demonstrate its operability.

Paper: Available as PDF (305 KB) or as hardcopy to order reports@sam.math.ethz.ch.