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Find max/min eigenvalue of a symmetric matrix

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Khanh
Khanh on 7 Nov 2011
Answered: Andrew Knyazev on 15 May 2015
I know I can use eig() to find all eigenvalues as well as eigenvectors and then use max/min to find the max/min eigenvalues. However, that method is not efficient given a big matrix.
I heard of Lanczos algorithm that allows to find extreme eigenvalues.
I wonder if there is any function in matlab that can find max/min eigenvalues quickly?
BTW, I consider symmetric positive semi-definite matrices if that makes problem any easier.
Thanks,

Accepted Answer

Andrei Bobrov
Andrei Bobrov on 7 Nov 2011
please read: doc eigs
  1 Comment
Khanh
Khanh on 7 Nov 2011
Thank you, Andrei. I wonder if it's the fastest function for calculating min/max eigenvalues available on matlab? It's quite slow when the size of matrix is more than 1,000 by 1,000, though.

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