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How does one diagonalize a large sparse symmetric matrix to get the eigenvalues and the eigenvectors?

The problem is the matrix could be very large (though it is sparse), at most $2500\times 2500$. Is there a good algorithm to do that and most importantly, one that I can implement it into my own code? Thanks a lot!

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    Why would you want to implement it on your own? Matlab can do it just fine.2010-11-28
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    I am somewhat interested in this question because I know nothing about algorithmic efficiency. My naive thoughts here are that the usual diagonalization algorithm (i.e., performing simultaneous row and column operations) should go faster the sparser the matrix is. From a practical standpoint, it would be useful to have a "sparse matrix" datatype, so that the computer knows from the beginning that most of the row-column operations do not need to be performed. But is there more to it than this? I.e., does one actually use a different algorithm rather than just different implementation?2010-11-28
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    1. Is there any structure in your sparse matrix? The efficiency of a sparse eigensolver ultimately rests on how well you wrote your matrix-vector multiplication routine, since Lanczos/Arnoldi requires at its core the multiplication of your sparse matrix with a number of vectors per iteration.2010-11-28
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    2. Do you really need **all** the eigenvalues and eigenvectors? For most applications of sparse eigenproblems, one only needs the largest few and/or the smallest few. In addition to that, your 2500-by-2500 matrix of eigenvectors is guaranteed **not** to be sparse; so unless you have provisions for storing all 2500 vectors, as well as the time needed to wait for them (Lanczos/Arnoldi is fast for one vector, but for 2500 vectors...), you might want to reconsider your wants/needs.2010-11-28
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    @Pete: It might interest you to know that sparse matrix storage techniques borrow a lot from graph theory, but not being a graph theory expert, that's all I can say about it. For tridiagonalizing a symmetric matrix with a neat pattern, I suppose judicious use of rotations might work, but if one tries Jacobi's scheme for diagonalization on a sparse matrix, you get a lot of fill-in in the first few iterations (even though theoretically the off-diagonal elements should converge to zero in the limit).2010-11-28

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