New Algorithm for Computing Eigenvectors of the Symmetric Eigenvalue Problem

Abstract

We describe a design and implementation of a multi-stage algorithm for computing eigenvectors of a dense symmetric matrix. We show that reformulating the existing algorithms is beneficial in terms of performance even if that doubles the computational complexity. Through detailed analysis, we show that the effect of the increase in the asymptotic operation count may be compensated by a much improved performance rate. Our performance results indicate that using our approach achieves very good speedup and scalability even when directly compared with the existing state-of-the-art software.