Find max/min eigenvalue of a symmetric matrix
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Answered: Andrew Knyazev on 15 May 2015
I know I can use eig() to find all eigenvalues as well as eigenvectors and then use max/min to find the max/min eigenvalues. However, that method is not efficient given a big matrix.
I heard of Lanczos algorithm that allows to find extreme eigenvalues.
I wonder if there is any function in matlab that can find max/min eigenvalues quickly?
BTW, I consider symmetric positive semi-definite matrices if that makes problem any easier.
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Andrew Knyazev on 15 May 2015
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