Algorithm 776: SRRIT

Publisher Website
Google Scholar
Abstract
SRRT is a Fortran program to calculate an approximate orthonomral basis fr a dominant invariant subspace of a real matrix A by the method of simultaneous iteration. Specifically, given an integer m , SRRIT computes a matrix Q with m orthonormal columns and real quasi-triangular matrix T or order m such that the equation AQ = QT is satisfied up to a tolerance specified by the user. The eigenvalues of T are approximations to the m eigenvalues of largest absolute magnitude of A and the columns of Q span the invariant subspace corresponding to those eigenvalues. SRRIT references A only through a user-provided subroutine to form the product AQ ; hence it is suitable for large sparse problems.