Gradient-type subspace iteration methods for the symmetric eigenvalue problem

Abstract

This paper explores variants of the subspace iteration algorithm for computing approximate invariant subspaces. The standard subspace iteration approach is revisited and new variants that exploit gradient-type techniques combined with a Grassmann manifold viewpoint are developed. A gradient method as well as a conjugate gradient technique are described. Convergence of the gradient-based algorithm is analyzed and a few numerical experiments are reported, indicating that the proposed algorithms are sometimes superior to a standard Chebyshev-based subspace iteration when compared in terms of number of matrix vector products, but do not require estimating optimal parameters. An important contribution of this paper to achieve this good performance is the accurate and efficient implementation of an exact line search. In addition, new convergence proofs are presented for the non-accelerated gradient method that includes a locally exponential convergence if started in a $\mathcal{O(\sqrt{\delta})}$ neighbourhood of the dominant subspace with spectral gap $\delta$.Comment: 29 page