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Feb 13, 2012 at 18:02 comment added dranxo As for the size, I'd like to work with larger matrices in the future. The Lanczos idea is interesting. I don't have a good intuition for how the eigenvectors converge so I'm hesitant to throw out candidates that are not localizing early on.
Feb 11, 2012 at 19:36 comment added Suvrit Actually, a friend of mine who does eigenvectors for a living insisted, that if we are willing to settle for 10% of the spectrum, we might as well compute the whole spectrum for $n$ even as large as 50,000. So I guess, unless absolutely short on storage, for a tiny $1000 \times 1000$ matrix, I would go ahead and compute the entire spectrum. It takes only 3 seconds on my 5 year old laptop to compute the full spectrum of a 1000 x 1000 matrix!
Feb 11, 2012 at 9:15 history answered Federico Poloni CC BY-SA 3.0