Subspace Methods for 3-Parameter Eigenvalue Problems (1802.07386v2)

Abstract: We propose subspace methods for 3-parameter eigenvalue problems. Such problems arise when separation of variables is applied to separable boundary value problems; a particular example is the Helmholtz equation in ellipsoidal and paraboloidal coordinates. While several subspace methods for 2-parameter eigenvalue problems exist, their extensions to three parameter setting seem to be challenging. An inherent difficulty is that, while for 2-parameter eigenvalue problems we can exploit a relation to Sylvester equations to obtain a fast Arnoldi type method, such a relation does not seem to exist when there are three or more parameters. Instead, we introduce a subspace iteration method with projections onto generalized Krylov subspaces that are constructed from scratch at every iteration using certain Ritz vectors as the initial vectors. Another possibility is a Jacobi--Davidson type method for three or more parameters, which we generalize from its 2-parameter counterpart. For both approaches, we introduce a selection criterion for deflation that is based on the angles between left and right eigenvectors. The Jacobi--Davidson approach is devised to locate eigenvalues close to a prescribed target, yet it often also performs well when eigenvalues are sought based on the proximity of one of the components to a prescribed target. The subspace iteration method is devised specifically for the latter task. The proposed approaches are suitable especially for problems where the computation of several eigenvalues is required with high accuracy. Matlab implementations of both methods have been made available in the package MultiParEig.