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Power iteration information


In mathematics, power iteration (also known as the power method) is an eigenvalue algorithm: given a diagonalizable matrix , the algorithm will produce a number , which is the greatest (in absolute value) eigenvalue of , and a nonzero vector , which is a corresponding eigenvector of , that is, . The algorithm is also known as the Von Mises iteration.[1]

Power iteration is a very simple algorithm, but it may converge slowly. The most time-consuming operation of the algorithm is the multiplication of matrix by a vector, so it is effective for a very large sparse matrix with appropriate implementation. The speed of convergence is like (see a later section). In words, convergence is exponential with base being the spectral gap.

  1. ^ Richard von Mises and H. Pollaczek-Geiringer, Praktische Verfahren der Gleichungsauflösung, ZAMM - Zeitschrift für Angewandte Mathematik und Mechanik 9, 152-164 (1929).

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