Which algorithm does MATLAB eig() use to diagonalize a complex symmetric matrix?
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Pranav Gupta
el 25 de Oct. de 2018
Editada: Bruno Luong
el 1 de Nov. de 2018
I used MATLAB eig() to find eigenvectors and eigenvalues of a complex symmetric matrix. I searched through MATLAB online documentation to find a link to the algorithm they use, but failed. Can someone link me to the algorithm used by MATLAB? My curiosity is piqued also because of the fact that the algorithm used by eig() didn't seem to be something simple enough. I am saying this because we have a rudimentary conjugate gradient complex symmetric eigensolver in FORTRAN, and we get poor quality of complex orthogonality* between eigenvectors, unlike MATLAB.
*note that for a complex symmetric matrix, eigenvectors corresponding to distinct eigenvalues have a zero transpose inner product, not a zero conjugate-transpose inner product. That is, $v_1^T v2=0$ , but $v†1v2≠0$.
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Stephan
el 25 de Oct. de 2018
Hi,
Maybe you are looking for this:
There are 2 algorithms used, depending on input and/or user choice in options.
Best regards
Stephan
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Bruno Luong
el 1 de Nov. de 2018
Editada: Bruno Luong
el 1 de Nov. de 2018
According to Christine (who is TMW staff); it is LAPACK so more like Hessenberg reduction
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Christine Tobler
el 25 de Oct. de 2018
EIG uses LAPACK functions for all cases. If there is a special case treatment for complex symmetric, I'm not aware of this.
Unless there are multiple eigenvalues, wouldn't a general nonsymmetric eigenvalue solver find eigenvectors that have a zero transpose inner product? (I haven't tried what EIG does for a complex symmetric matrix with multiple eigenvalues, because I'm not sure how to construct one).
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Bruno Luong
el 25 de Oct. de 2018
Editada: Bruno Luong
el 25 de Oct. de 2018
You are right Christine, there is no warranty of transposed orthogonal of eigen vectors output for multiple eigenvalues case:
% Construct A complex symmetric with multiple eigen values
B=randn(5)+1i*rand(5);
[W,D]=eig(B.'*B);
A=W*diag([1 1 1 2 2]+1i*[2 2 2 3 3])*inv(W);
A = A + A.'; % make sure A is symmetric
disp(A)
3.2186 + 5.0894i -0.7773 - 0.7697i -0.2351 - 0.1350i 0.2788 - 0.2281i 0.6007 + 0.6893i
-0.7773 - 0.7697i 2.4414 + 4.5526i 0.1556 + 0.2721i -0.0407 - 0.1935i -0.2904 - 0.3498i
-0.2351 - 0.1350i 0.1556 + 0.2721i 2.6024 + 4.1188i -1.0149 - 0.6676i 0.3581 - 0.2851i
0.2788 - 0.2281i -0.0407 - 0.1935i -1.0149 - 0.6676i 3.1806 + 6.1977i -0.9264 - 0.1746i
0.6007 + 0.6893i -0.2904 - 0.3498i 0.3581 - 0.2851i -0.9264 - 0.1746i 2.5570 + 4.0415i
[V,~]=eig(A);
V.'*V
ans =
0.9406 + 0.0527i 0.0000 + 0.0000i -0.0000 + 0.0000i 0.1090 - 0.0485i -0.0000 + 0.0000i
0.0000 + 0.0000i 0.9207 - 0.0703i 0.3896 + 0.0699i 0.0000 + 0.0000i 0.0186 - 0.0956i
-0.0000 + 0.0000i 0.3896 + 0.0699i 0.7577 + 0.0086i -0.0000 + 0.0000i -0.1659 - 0.5657i
0.1090 - 0.0485i 0.0000 + 0.0000i -0.0000 + 0.0000i 0.7661 - 0.2008i 0.0000 - 0.0000i
-0.0000 + 0.0000i 0.0186 - 0.0956i -0.1659 - 0.5657i 0.0000 - 0.0000i 0.5822 - 0.3127i
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