15.4 Real Generalized Symmetric-Definite Eigensystems

The real generalized symmetric-definite eigenvalue problem is to find eigenvalues \lambda and eigenvectors x such that

A x = \lambda B x

where A and B are symmetric matrices, and B is positive-definite. This problem reduces to the standard symmetric eigenvalue problem by applying the Cholesky decomposition to B:

                      A x = \lambda B x
                      A x = \lambda L L^t x
( L^{-1} A L^{-t} ) L^t x = \lambda L^t x

Therefore, the problem becomes C y = \lambda y where C = L^{-1} A L^{-t} is symmetric, and y = L^t x. The standard symmetric eigensolver can be applied to the matrix C. The resulting eigenvectors are backtransformed to find the vectors of the original problem. The eigenvalues and eigenvectors of the generalized symmetric-definite eigenproblem are always real.

Function: gsl_eigen_gensymm_workspace * gsl_eigen_gensymm_alloc (const size_t n)

This function allocates a workspace for computing eigenvalues of n-by-n real generalized symmetric-definite eigensystems. The size of the workspace is O(2n).

Function: void gsl_eigen_gensymm_free (gsl_eigen_gensymm_workspace * w)

This function frees the memory associated with the workspace w.

Function: int gsl_eigen_gensymm (gsl_matrix * A, gsl_matrix * B, gsl_vector * eval, gsl_eigen_gensymm_workspace * w)

This function computes the eigenvalues of the real generalized symmetric-definite matrix pair (A, B), and stores them in eval, using the method outlined above. On output, B contains its Cholesky decomposition and A is destroyed.

Function: gsl_eigen_gensymmv_workspace * gsl_eigen_gensymmv_alloc (const size_t n)

This function allocates a workspace for computing eigenvalues and eigenvectors of n-by-n real generalized symmetric-definite eigensystems. The size of the workspace is O(4n).

Function: void gsl_eigen_gensymmv_free (gsl_eigen_gensymmv_workspace * w)

This function frees the memory associated with the workspace w.

Function: int gsl_eigen_gensymmv (gsl_matrix * A, gsl_matrix * B, gsl_vector * eval, gsl_matrix * evec, gsl_eigen_gensymmv_workspace * w)

This function computes the eigenvalues and eigenvectors of the real generalized symmetric-definite matrix pair (A, B), and stores them in eval and evec respectively. The computed eigenvectors are normalized to have unit magnitude. On output, B contains its Cholesky decomposition and A is destroyed.