Randomized algorithms for Generalized Hermitian Eigenvalue Problems with application to computing Karhunen-Loève expansion

Arvind K. Saibaba, Jonghyun Lee, Peter K. Kitanidis

We describe randomized algorithms for computing the dominant eigenmodes of the Generalized Hermitian Eigenvalue Problem (GHEP) $Ax=\lambda Bx$, with $A$ Hermitian and $B$ Hermitian and po…