Efficient algorithm for finding largest eigenpair of small general complex matrix

Posted by mklassen on Stack Overflow See other posts from Stack Overflow or by mklassen
Published on 2012-03-27T13:57:00Z Indexed on 2012/03/27 17:30 UTC
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I am looking for an efficient algorithm to find the largest eigenpair of a small, general (non-square, non-sparse, non-symmetric), complex matrix, A, of size m x n. By small I mean m and n is typically between 4 and 64 and usually around 16, but with m not equal to n. This problem is straight forward to solve with the general LAPACK SVD algorithms, i.e. gesvd or gesdd. However, as I am solving millions of these problems and only require the largest eigenpair, I am looking for a more efficient algorithm. Additionally, in my application the eigenvectors will generally be similar for all cases. This lead me to investigate Arnoldi iteration based methods, but I have neither found a good library nor algorithm that applies to my small general complex matrix. Is there an appropriate algorithm and/or library?

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