Asymptotic quadratic convergence of the serial block-Jacobi EVD algorithm for Hermitian matrices

摘要

We provide the proof of the asymptotic quadratic convergence of the classical serial block-Jacobi EVD algorithm for Hermitian matrices with well-separated eigenvalues (including the multiple ones) as well as clusters of eigenvalues. At each iteration step, two off-diagonal blocks with the largest Frobenius norm are eliminated which is an extension of the original Jacobi approach to the block case. Numerical experiments illustrate and confirm the developed theory.