num::rayleigh_iteration

Defined in header <linear/eigen/power.hpp>

power_result rayleigh_iteration(const mat<real> &A, const vec<real> &x0,
                                real tol = 1e-10, idx max_iter = 50);

Rayleigh quotient iteration -- cubically convergent.

Updates the shift sigma = v^TAv at every step -> fresh LU each iteration.

Parameters

• A: Symmetric matrix
• x0: Starting vector (determines which eigenvalue is found)
• tol: Tolerance on residual ||Av - lambdav||
• max_iter: Maximum iterations