Theoretical and Computable Optimal Subspace Expansions for Matrix Eigenvalue Problems (2004.04928v3)

Abstract: Consider the optimal subspace expansion problem for the matrix eigenvalue problem $Ax=\lambda x$: Which vector $w$ in the current subspace $\mathcal{V}$, after multiplied by $A$, provides an optimal subspace expansion for approximating a desired eigenvector $x$ in the sense that $x$ has the smallest angle with the expanded subspace $\mathcal{V}w=\mathcal{V}+{\rm span}{Aw}$, i.e., $w{opt}=\arg\max_{w\in\mathcal{V}}\cos\angle(\mathcal{V}w,x)$? This problem is important as many iterative methods construct nested subspaces that successively expand $\mathcal{V}$ to $\mathcal{V}_w$. An expression of $w{opt}$ by Ye (Linear Algebra Appl., 428 (2008), pp. 911--918) for $A$ general, but it could not be exploited to construct a computable (nearly) optimally expanded subspace. He turns to deriving a maximization characterization of $\cos\angle(\mathcal{V}w,x)$ for a {\em given} $w\in \mathcal{V}$ when $A$ is Hermitian. We generalize Ye's maximization characterization to the general case and find its maximizer. Our main contributions consist of explicit expressions of $w{opt}$, $(I-P_V)Aw_{opt}$ and the optimally expanded subspace $\mathcal{V}{w{opt}}$ for $A$ general, where $P_V$ is the orthogonal projector onto $\mathcal{V}$. These results are fully exploited to obtain computable optimally expanded subspaces within the framework of the standard, harmonic, refined, and refined harmonic Rayleigh--Ritz methods. We show how to efficiently implement the proposed subspace expansion approaches. Numerical experiments demonstrate the effectiveness of our computable optimal expansions.