A Shifted Block Lanczos Algorithm for Solving Sparse Symmetric Generalized Eigenproblems

Abstract
An “industrial strength” algorithm for solving sparse symmetric generalized eigenproblems is described. The algorithm has its foundations in known techniques in solving sparse symmetric eigenproblems, notably the spectral transformation of Ericsson and Ruhe and the block Lanczos algorithm. However, the combination of these two techniques is not trivial; there are many pitfalls awaiting the unwary implementor. The focus of this paper is on identifying those pitfalls and avoiding them, leading to a “bomb-proof” algorithm that can live as a black box eigensolver inside a large applications code. The code that results comprises a robust shift selection strategy and a block Lanczos algorithm that is a novel combination of new techniques and extensions of old techniques.

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