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A new algorithm for the generalized eigenvalue problem

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2 Author(s)
K. Huper ; Dept. of Math., Wurzburg Univ., Germany ; U. Helmke

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

Published in:

Acoustics, Speech, and Signal Processing, 1997. ICASSP-97., 1997 IEEE International Conference on  (Volume:1 )

Date of Conference:

21-24 Apr 1997