Timeline for How to compute the induced $||\cdot||_{2} $ matrix norm of an SPD matrix
Current License: CC BY-SA 2.5
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| Jan 25, 2011 at 21:14 | comment | added | user11046 | Oh, I just meant that there might be an algorithm designed specifically for SPD matrices that will let you calculate the largest eigenvalue. If you just want a solution in general, then you can use something like the Power Method, which you can probably find in both of the books that Suvrit cited, or on wikipedia (en.wikipedia.org/wiki/Power_iteration). | |
| Jan 25, 2011 at 20:29 | comment | added | Zenon | By definition: let be $A\in \mathbb{R}^{m\times n};\;||A||_{2} = max_{x \in \mathbb{R}^n} \frac{||Ax||_{2}}{||x||_{2}}$. So I understand how an $\textit{optimal algorithm}$ might be useful, but could you elaborate on it? (provide a link or state the algorithm)? | |
| Jan 25, 2011 at 20:03 | history | answered | user11046 | CC BY-SA 2.5 |