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Algorithm Jacobi

The document describes the Jacobi method for determining eigenvalues of a real symmetric matrix. It provides the algorithm which takes a matrix A, applies an orthogonal similarity transformation to iteratively reduce off-diagonal elements until a tolerance is reached, obtaining the eigenvalues of the original matrix.

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Kundan karn
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23 views1 page

Algorithm Jacobi

The document describes the Jacobi method for determining eigenvalues of a real symmetric matrix. It provides the algorithm which takes a matrix A, applies an orthogonal similarity transformation to iteratively reduce off-diagonal elements until a tolerance is reached, obtaining the eigenvalues of the original matrix.

Uploaded by

Kundan karn
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Department of Civil Engineering

Indian Institute of Technology Bombay

CE-603 Numerical Methods


September 12, 2022

Jacobi Method for Determination of Eigenvalues

Algorithm Jacobi (A, V, N, k, eps)


Algorithm to find eigenvalues of a real symmetric matrix A using Jacobi method. If
tolerance eps  , this algorithm overwrites A = VT AV where V is orthogonal and
off (VT AV )  tol  A F .
N N
The stopping criteria is based on Frobenius norm A F =   aij2
i =1 j =1

Step (1) k = 0, V = I, eps = tol  A F

(2) While off (A)  eps , k = k + 1

(3) Chose indices p and q with 1  p  q  N so that a pq = max aij


i j

(4) If A( p, q)  0 then

(5)  = (A(q, q) − A( p, p)) /(2A( p, q))

(6) (
t = sgn( ) /  + 1 +  2 )
(7) c = 1/ 1 + t 2

(8) s = tc

(9) Else

(10) c = 1, s = 0

(11) Endif

(12) Evaluate J(p, q, )

(13) A = J( p, q, )T AJ( p, q, )

(14) V = VJ( p, q, )

(15) End While

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