lanpro.txt

LANPRO   Lanczos tridiagonalization with partial reorthogonalization
   LANPRO computes the Lanczos tridiagonalization of a real symmetric 
   matrix using the symmetric Lanczos algorithm with partial 
   reorthogonalization. 

   [Q_K,T_K,R,ANORM,IERR,WORK] = LANPRO(A,K,R0,OPTIONS,Q_old,T_old)
   [Q_K,T_K,R,ANORM,IERR,WORK] = LANPRO('Afun',N,K,R0,OPTIONS,Q_old,T_old)

   Computes K steps of the Lanczos algorithm with starting vector R0, 
   and returns the K x K tridiagonal T_K, the N x K matrix Q_K 
   with semiorthonormal columns and the residual vector R such that 

        A*Q_K = Q_K*T_K + R .

   Partial reorthogonalization is used to keep the columns of Q_K 
   semiorthogonal:
        MAX(DIAG((eye(k) - Q_K'*Q_K))) <= OPTIONS.delta.


   The first input argument is either a real symmetric matrix, a struct with
   components A.L and A.U or a string containing the name of an M-file which 
   applies a linear operator to the columns of a given matrix.  In the latter
   case, the second input argument must be N, the order of the problem.

   If A is a struct with components A.L and A.U, such that 
   L*U = (A - sigma*I), a shift-and-invert Lanczos iteration is performed

   The OPTIONS structure is used to control the reorthogonalization:
     OPTIONS.delta:  Desired level of orthogonality 
                     (default = sqrt(eps/K)).
     OPTIONS.eta  :  Level of orthogonality after reorthogonalization 
                     (default = eps^(3/4)/sqrt(K)).
     OPTIONS.cgs  :  Flag for switching between different reorthogonalization
                     algorithms:
                      0 = iterated modified Gram-Schmidt  (default)
                      1 = iterated classical Gram-Schmidt 
     OPTIONS.elr  :  If OPTIONS.elr = 1 (default) then extended local
                     reorthogonalization is enforced.
     OPTIONS.Y    :  The lanczos vectors are reorthogonalized against
                     the columns of the matrix OPTIONS.Y.

   If both R0, Q_old and T_old are provided, they must contain 
   a partial Lanczos tridiagonalization of A on the form

        A Q_old = Q_old T_old + R0 .  

   In this case the factorization is extended to dimension K x K by
   continuing the Lanczos algorithm with R0 as starting vector.

   On exit ANORM contains an approximation to ||A||_2. 
     IERR = 0  :  K steps were performed succesfully.
     IERR > 0  :  K steps were performed succesfully, but the algorithm
                  switched to full reorthogonalization after IERR steps.
     IERR < 0  :  Iteration was terminated after -IERR steps because an
                  invariant subspace was found, and 3 deflation attempts 
                  were unsuccessful.
   On exit WORK(1) contains the number of reorthogonalizations performed, and
   WORK(2) contains the number of inner products performed in the
   reorthogonalizations.

   See also LANEIG, REORTH, COMPUTE_INT

 References: 
 R.M. Larsen, Ph.D. Thesis, Aarhus University, 1998.

 G. H. Golub & C. F. Van Loan, "Matrix Computations",
 3. Ed., Johns Hopkins, 1996.  Chapter 9.

 B. N. Parlett, ``The Symmetric Eigenvalue Problem'', 
 Prentice-Hall, Englewood Cliffs, NJ, 1980.

 H. D. Simon, ``The Lanczos algorithm with partial reorthogonalization'',
 Math. Comp. 42 (1984), no. 165, 115--142.

 Rasmus Munk Larsen, DAIMI, 1998