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Zbl 1127.76054
Verhoosel, C.V.; Gutiérrez, M.A.; Hulshoff, S.J.
Iterative solution of the random eigenvalue problem with application to spectral stochastic finite element systems. (English)
[J] Int. J. Numer. Methods Eng. 68, No. 4, 401-424 (2006). ISSN 0029-5981

Summary: We propose a new algorithm for computation of the spectral expansion of eigenvalues and eigenvectors of a random non-symmetric matrix. The algorithm extends the deterministic inverse power method using a spectral discretization approach. The convergence and accuracy of the algorithm is studied for both symmetric and non-symmetric matrices. The method turns out to be efficient and robust compared to existing methods for the computation of the spectral expansion of random eigenvalues and eigenvectors.

MSC 2000:: *76M35 Stochastic analysis
76M10 Finite element methods
74S05 Finite element methods
65F15 Eigenvalues (numerical linear algebra)
65C20 Models (numerical methods)

Keywords: inverse power method; non-symmetric matrix; convergence

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