Technical Report 2021-007

Matrix-Less Eigensolver for Large Structured Matrices

Giovanni Barbarino, Melker Claesson, Sven-Erik Ekström, Carlo Garoni, David Meadon, and Hendrik Speleers

November 2021

Abstract:
Sequences of structured matrices of increasing size arise in many scientific applications and especially in the numerical discretization of linear differential problems. We assume as a working hypothesis that the eigenvalues of a matrix Xn belonging to a sequence of this kind are given by a regular expansion. Based on this working hypothesis, which is illustrated to be plausible through numerical experiments, we propose an eigensolver for the computation of the eigenvalues of Xn for large n and we provide a theoretical analysis of its convergence. The eigensolver is called matrix-less because it does not operate on the matrix Xn but on a few similar matrices of smaller size combined with an interpolation-extrapolation strategy. Its performance is benchmarked on several numerical examples, with a special focus on matrices arising from the discretization of differential problems.

Note: Updated version of nr 2021-005.

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