A new algorithm for the generalized eigenvalue problem
Huper, K.; Helmke, U.
Acoustics, Speech, and Signal Processing, 1997. ICASSP-97., 1997 IEEE International Conference on
Volume 1, Issue , 21-24 Apr 1997 Page(s):35 - 38 vol.1
Digital Object Identifier   10.1109/ICASSP.1997.598866
Summary:The problem of finding the generalized eigenvalues and eigenvectors of a pair of real symmetric matrices A and B, with B>0, can be viewed as a smooth optimization problem on a smooth manifold. We present a cost function approach to the generalized eigenvalue problem which is posed on the product of the n-sphere and Euclidian space R . The critical point set of this cost function is studied. An algorithm is presented based on constrained optimization. A proof of local quadratic convergence is given

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