Spectral Transformation for the Dense Symmetric Semidefinite Generalized Eigenvalue Problem

Abstract: The spectral transformation Lanczos method for the sparse symmetric definite generalized eigenvalue problem for matrices $A$ and $B$ is an iterative method that addresses the case of semidefinite or ill conditioned $B$ using a shifted and inverted formulation of the problem. This paper proposes the same approach for dense problems and shows that with a shift chosen in accordance with certain constraints, the algorithm can conditionally ensure that every computed shifted and inverted eigenvalue is close to the exact shifted and inverted eigenvalue of a pair of matrices close to $A$ and $B$. Under the same assumptions on the shift, the analysis of the algorithm for the shifted and inverted problem leads to useful error bounds for the original problem, including a bound that shows how a single shift that is of moderate size in a scaled sense can be chosen so that every computed generalized eigenvalue corresponds to a generalized eigenvalue of a pair of matrices close to $A$ and $B$. The computed generalized eigenvectors give a relative residual that depends on the distance between the corresponding generalized eigenvalue and the shift. If the shift is of moderate size, then relative residuals are small for generalized eigenvalues that are not much larger than the shift. Larger shifts give small relative residuals for generalized eigenvalues that are not much larger or smaller than the shift.