Repository for implementations of the Lanczos algorithm approximating hermitian matrices by a lower-dimensional tri-diagonalized one. The main implementations of the algorithm are made in lanczos.py.
Abstract: Joint diagonalization of collections of matrices, i.e. the problem of finding a joint set of approximate eigenvectors, is an important problem that appears in many applicative contexts. It ...
Vollgraf, Roland, and Klaus Obermayer. "Quadratic optimization for simultaneous matrix diagonalization." IEEE Transactions on Signal Processing 54.9 (2006): 3270-3278 ...
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