Dismiss Notice
Join Physics Forums Today!
The friendliest, high quality science and math community on the planet! Everyone who loves science is here!

Updating a single eigenvector of a matrix

  1. Oct 20, 2009 #1
    Hello all,

    I am facing with the following problem:

    I have a large PSD matrix (5000 x 5000), say A_0. I also have all the eigenvectors of this matrix.

    I have an iterative rank-one update scheme as follows:

    A_t = A_{t-1} + x_tx_t^T.

    x_t is a column vector of size 5000.

    I am interested in the "first eigenvector" (eigvec with largest eigenvalue) of this matrix at every time instant t.

    Is there an option where I don't have to compute the eigenvectors for the whole matrix everytime?

    Thank you,

  2. jcsd
Know someone interested in this topic? Share this thread via Reddit, Google+, Twitter, or Facebook

Can you offer guidance or do you also need help?
Draft saved Draft deleted