Adapting the Lanczos algorithm to matrices with almost continuous spectra

Jörn Zimmerling, Vladimir Druskin

We consider the approximation of $B^T(A+sI{)}^{-1}B$ where $A\in {\mathbb{R}}^{n\times n}$ is large, symmetric positive definite, and has a dense spectrum, and $B\in\mathbb{R}^{n\time…