Variational Characterization and Rayleigh Quotient Iteration of 2D Eigenvalue Problem with Applications

Abstract

SIAM Journal on Matrix Analysis and Applications, Volume 45, Issue 3, Page 1455-1486, September 2024.
Abstract. A two dimensional eigenvalue problem (2DEVP) of a Hermitian matrix pair [math] is introduced in this paper. The 2DEVP can be regarded as a linear algebra formulation of the well-known eigenvalue optimization problem of the parameter matrix [math]. We first present fundamental properties of the 2DEVP, such as the existence and variational characterizations of 2D-eigenvalues, and then devise a Rayleigh quotient iteration (RQI)-like algorithm, 2DRQI in short, for computing a 2D-eigentriplet of the 2DEVP. The efficacy of the 2DRQI is demonstrated by large scale eigenvalue optimization problems arising from the minmax of Rayleigh quotients and the distance to instability of a stable matrix.