Try demmel's implementation.

lanczos_demmel
alberto 1 month ago
parent eb2d82115a
commit bdf39a41f7

@ -3,6 +3,7 @@ import numpy.linalg as LA
"""
Classic Lanczos method (without re-orthogonalization)
Using Demmel's book version.
Arguments
L : Real valued NxN symmetric matrix
@ -23,22 +24,20 @@ beta : ndarray
def lanczos(L, s, M):
N = len(s)
alp = np.zeros(M)
beta = np.zeros(M - 1)
V = np.zeros((N, M))
V[:, 0] = s / LA.norm(s)
beta = np.zeros(M)
V = np.zeros((N, M + 1))
V[:, 1] = s / LA.norm(s)
for j in range(M):
for j in range(1, M):
w = L @ V[:, j]
alp[j] = np.dot(V[:, j], w)
v_tilde = w - V[:, j] * alp[j]
if j > 0:
v_tilde = v_tilde - V[:, j - 1] * beta[j - 1]
w = w - V[:, j] * alp[j] - V[:, j - 1] * beta[j - 1]
if j < M - 1:
beta[j] = LA.norm(v_tilde)
if beta[j] == 0:
break
V[:, j + 1] = v_tilde / beta[j]
beta[j] = LA.norm(w)
if beta[j] == 0:
print("Breakdown")
break
V[:, j + 1] = w / beta[j]
return [V, alp, beta]
return [V[:, 1:], alp, beta[1:]]

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