Partial Differential Equation Toolbox™ software handles the following basic eigenvalue problem:
where λ is an unknown complex number. In solid mechanics, this is a problem associated with wave phenomena describing, e.g., the natural modes of a vibrating membrane. In quantum mechanics λ is the energy level of a bound state in the potential well a(x).
The numerical solution is found by discretizing the equation and solving the resulting algebraic eigenvalue problem. Let us first consider the discretization. Expand u in the FEM basis, multiply with a basis element, and integrate on the domain Ω. This yields the generalized eigenvalue equation
KU = λMU
where the mass matrix corresponds to the right side, i.e.,
The matrices K and M are produced by calling assema for the equations
–∇ · (c∇u) + au = 0 and –∇ · (0∇u) + du = 0
In the most common case, when the function d(x) is positive, the mass matrix M is positive definite symmetric. Likewise, when c(x) is positive and we have Dirichlet boundary conditions, the stiffness matrix K is also positive definite.
The generalized eigenvalue problem, KU = λMU, is now solved by the Arnoldi algorithm applied to a shifted and inverted matrix with restarts until all eigenvalues in the user-specified interval have been found.
Let us describe how this is done in more detail. You may want to look at the example provided in the section Eigenvalue Problems, where an actual run is reported.
First a shift µ is determined close to where we want to find the eigenvalues. When both K and M are positive definite, it is natural to take µ = 0, and get the smallest eigenvalues; in other cases take any point in the interval [lb,ub] where eigenvalues are sought. Subtract µM from the eigenvalue equation and get (K - µM)U = (λ - µ)MU. Then multiply with the inverse of this shifted matrix and get
This is a standard eigenvalue problem AU = θU, with the matrix A = (K – µM)-1M and eigenvalues
where i = 1, . . ., n. The largest eigenvalues θi of the transformed matrix A now correspond to the eigenvalues λi = µ + 1/θi of the original pencil (K,M) closest to the shift µ.
The Arnoldi algorithm computes an orthonormal basis V where the shifted and inverted operator A is represented by a Hessenberg matrix H,
AVj = VjHj,j + Ej.
(The subscripts mean that Vj and Ej have j columns and Hj,j has j rows and columns. When no subscripts are used we deal with vectors and matrices of size n.)
Some of the eigenvalues of this Hessenberg matrix Hj,j eventually give good approximations to the eigenvalues of the original pencil (K,M) when the basis grows in dimension j, and less and less of the eigenvector is hidden in the residual matrix Ej.
The basis V is built one column vj at a time. The first vector v1 is chosen at random, as n normally distributed random numbers. In step j, the first j vectors are already computed and form the n ×j matrix Vj. The next vector vj+1 is computed by first letting A operate on the newest vector vj, and then making the result orthogonal to all the previous vectors.
This is formulated as , where the column vector hj consists of the Gram-Schmidt coefficients, and hj+1,j is the normalization factor that gives vj+1 unit length. Put the corresponding relations from previous steps in front of this and get
where Hj,j is a j×j Hessenberg matrix with the vectors hj as columns. The second term on the right-hand side has nonzeros only in the last column; the earlier normalization factors show up in the subdiagonal of Hj,j.
The eigensolution of the small Hessenberg matrix H gives approximations to some of the eigenvalues and eigenvectors of the large matrix operator Aj,j in the following way. Compute eigenvalues θi and eigenvectors si of Hj,j,
Then yi = Vjsi is an approximate eigenvector of A, and its residual is
This residual has to be small in norm for θi to be a good eigenvalue approximation. The norm of the residual is
the product of the last subdiagonal element of the Hessenberg matrix and the last element of its eigenvector. It seldom happens that hj+1,j gets particularly small, but after sufficiently many steps j there are always some eigenvectors si with small last elements. The long vector Vj+1 is of unit norm.
It is not necessary to actually compute the eigenvector approximation yi to get the norm of the residual; we only need to examine the short vectors si, and flag those with tiny last components as converged. In a typical case n may be 2000, while j seldom exceeds 50, so all computations that involve only matrices and vectors of size j are much cheaper than those involving vectors of length n.
This eigenvalue computation and test for convergence is done every few steps j, until all approximations to eigenvalues inside the interval [lb,ub] are flagged as converged. When n is much larger than j, this is done very often, for smaller n more seldom. When all eigenvalues inside the interval have converged, or when j has reached a prescribed maximum, the converged eigenvectors, or more appropriately Schur vectors, are computed and put in the front of the basis V.
After this, the Arnoldi algorithm is restarted with a random vector, if all approximations inside the interval are flagged as converged, or else with the best unconverged approximate eigenvector yi. In each step j of this second Arnoldi run, the vector is made orthogonal to all vectors in V including the converged Schur vectors from the previous runs. This way, the algorithm is applied to a projected matrix, and picks up a second copy of any double eigenvalue there may be in the interval. If anything in the interval converges during this second run, a third is attempted and so on, until no more approximate eigenvalues θi show up inside. Then the algorithm signals convergence. If there are still unconverged approximate eigenvalues after a prescribed maximum number of steps, the algorithm signals nonconvergence and reports all solutions it has found.
This is a heuristic strategy that has worked well on both symmetric, nonsymmetric, and even defective eigenvalue problems. There is a tiny theoretical chance of missing an eigenvalue, if all the random starting vectors happen to be orthogonal to its eigenvector. Normally, the algorithm restarts p times, if the maximum multiplicity of an eigenvalue is p. At each restart a new random starting direction is introduced.
The shifted and inverted matrix A = (K – µM)–1M is needed only to operate on a vector vj in the Arnoldi algorithm. This is done by computing an LU factorization,
P(K – µM)Q = LU
using the sparse MATLAB® command lu (P and Q are permutations that make the triangular factors L and U sparse and the factorization numerically stable). This factorization needs to be done only once, in the beginning, then x = Avj is computed as,
x = QU–1L–1PMvj
with one sparse matrix vector multiplication, a permutation, sparse forward- and back-substitutions, and a final renumbering.