Adapting the Lanczos algorithm to matrices with almost continuous spectra

Jörn Zimmerling, Vladimir Druskin

We consider approximating $B^T(A+sI{)}^{-1}B$, where $A\in {\mathbb{R}}^{n\times n}$ is large, symmetric positive definite, and $B\in {\mathbb{R}}^{n\times p}$ with $p\ll n$. We focus on t…