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From: Rune Allnor <allnor@tele.ntnu.no>
Newsgroups: comp.soft-sys.matlab
Subject: Re: Fast Matrix*Diagonal*Matrix operation
Date: Mon, 31 Jan 2011 20:39:39 -0800 (PST)
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On Jan 31, 11:31 pm, "Gongguo Tang" <tanggong...@gmail.com> wrote:
> Hi there,
>
> I have a code that computes Q'*D(t)*Q many times. Here Q is a fixed mxn matrix with m < n, while the diagonal matrix D depends on the iteration t.
>
> Because I have so many iterations that the operation slows done the entire process.
>
> I am wondering if there is any way to obtain Q'*D(t)*Q as fast as possible. Maybe from the result of Q'*Q or some kind of decomposition of Q'*Q?

Sounds like you might want to have a look at
how the Householder transform helps speed up
the computation of eigenvalues of symmetric
matrices.

Check out the appropriate chapters of

Golub & van Loan: "Matrix Computations" (1996)

Rune