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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 …
Denis Serre's user avatar
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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 …
Denis Serre's user avatar
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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 ${\mathbb Z}/2^n{\mathbb Z}$.
Denis Serre's user avatar
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2 votes
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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 …
Denis Serre's user avatar
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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 …
Denis Serre's user avatar
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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 …
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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 …
Denis Serre's user avatar
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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 …
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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 …
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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 …
Denis Serre's user avatar
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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 …
Denis Serre's user avatar
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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 …
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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 …
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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 …
Denis Serre's user avatar
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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 …
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