Improving Precision of Eigenvectors with Large Eigenvalues
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bil
on 24 Jun 2024
Commented: Christine Tobler
on 26 Jun 2024
Hi all,
This is a bit of a generic question, but I was hoping someone could provide some insight on how I could improve the precision of eigenvectors using "projection techniques", like in this post, where a matrix will have 1 or 2 very large eigenvalues, and the remaining eigenvalues are much smaller (by several orders of magnitude). They have code written in R, which I am not too familiar with, but is the idea generically that I should subtract out the overlap of smaller eigenvectors with those of larger eigenvectors to improve their precision? When I say precision, what I mean is that applying eig to a matrix M will generate a set of eigenvectors, but once I check M*v - λ*v, the resultant array will deviate from 0, i.e. applying M to the "eigenvector" has resulted in a linear combination of multiple other eigenvectors.
Any guidance is appreciated.
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Christine Tobler
on 24 Jun 2024
The linked post is about a symmetric matrix, is this also your case? In that case (if issymmetric returns true for your matrix), the eigenvectors returned by EIG will be orthogonal up to numerical round-off (an exact 0 is not possible in numerical computation, practically speaking).
The proposed solution doesn't improve the eigenvectors, but instead applies a projection to the computed residual vectors, to project out any components along the eigenvectors of the larger eigenvalues. Whether this is useful will depend on your application - that is, do you need to do computations with that residual?
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Torsten
on 26 Jun 2024
But I suspect this might not be the most accurate and the most straightforward method is, as you said, to just take the reciprocal of the eigenvalues of M to get the eigenvalues of M^(-1), and the eigenvectors are the same for both matrices.
Yes, at least I cannot think of any advantage to work with the inverse for your case.
Christine Tobler
on 26 Jun 2024
Closing the loop, I agree with Torsten that computing the eigenvalues and eigenvectors of the original matrix and then inverting the eigenvalues will be more accurate than calling eig on the inverse.
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