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Numerical algorithms for problems in analysis and algebra, scientific computation
19
votes
Accepted
Eigenvalues of non-symmetric matrix and its transpose
You cannot do much, for the following reason. Take any real symmetric matrix $M$. It is a consequence of the Toepliz-Hausdorff Theorem about the Numerical Range that $M$ is unitarily similar to a (sym …
8
votes
Accepted
Weyl inequalities for largest eigenvalue of matrix sum
Weyl's inequalities are not the full story. The characterization of the possible spectra of $A+B$, given the spectra of $A$ and $B$ is the object of A. Horn's conjecture. This is now a theorem, after …
8
votes
Applications of group theory in numerical analysis?
As far as DFT and FFT is considered as a part of Numerical Analysis, finite abelian groups apply, especially ${\mathbb Z}/2^n{\mathbb Z}$.
2
votes
Accepted
Relaxation Scheme for $Au=f$ error analysis
Relaxation method is a part of the theory of iterative methods for the calculation of approximate solutions to linear systems. It depends on a real or complex parameter $\omega$, the relaxation parame …
4
votes
What is the best algorithm to find the smallest nonzero Eigenvalue of a symmetric matrix?
The QR algorithm gives quite rapidly a good approximation of the eigenvalues of a real symmetric (or complexHermitian). But overall, it gives first the smallest eigenvalues. The reason is that the rat …
7
votes
Newton's Method for Finding Multiple Roots
The Newton's method has driven a lot of attention during the past decades in the community of complex analysis, because of its nice behaviour as a dynamical system. From the point of view of the appro …
1
vote
convergence of finite difference method for boundary value ODE
If the solution of the BVP is non-unique, it is likely that the solution of the discretization is non unique as well. I should bet on the following. If a solution of the BVP has the (generic) property …
2
votes
Accepted
integration of a laplacian
Since your approximate solution is piecewise linear, it is $H^1$ but not $H^2$. Therefore your calculation is impossible. You can do to things to overcome the difficulty:
Either use higher-order ele …
13
votes
Accepted
Is Gauss-Seidel guaranteed to converge on *semi* positive definite matrices?
This is an interesting question, to which the answer is positive.
Here is the proof. Of course, for the method to make sense, we must assume that the diagonal $D>0$. The notations below are borrowed …
5
votes
Finding all roots of a polynomial
I give a course on matrix analysis, and I like to mention the following thing. It is equivalent to finding the roots of polynomials, or to finding the eigenvalues of matrices, because to a polynomial …
6
votes
Shifted QR algorithm—why does the shift help?
This completes Polini's answer, which is perfectly right, but a bit 'elliptic'.
The QR algorithm is usually employed together with a preparation step: one puts the matrix $A$ in a unitarilly similar H …
9
votes
Eigenvalues of A+B where A is symmetric positive definite and B is diagonal
The ambiguity in your question is the word 'rapidly'.
If you want to have an information on the eigenvalues of $A+B$, without any extra information besides those given in the question, then this is t …
2
votes
Accepted
An optimization problem in numerical linear algebra
The set of matrices $A$ is a cone, smooth away from the origin. With the Frobenius norm $\sqrt{{\rm Tr}(M^TM)}$, you can use differential calculus. The minimum is achieved at some $A$. If $A\ne0_n$, t …
3
votes
Accepted
A sum of eigenvalues
The answer is yes, because your function (let me call it $f$) is the maximum of convex functions. As such, it is convex. The formula :
$$f(X)=\max\left(0,\max_{1\le r\le n}\sum_{j=1}^r\lambda_j(X)\rig …
5
votes
Accepted
Is the matrix positive definite given the Gauss-Seidel method converges?
There is an interesting though partial answer to your question:
Under your assumptions, it is not possible that the signature of $A$ be $(n-1,1)$ (exactly one negative eigenvalue).
Proof: With s …