SOAR: A Second-order Arnoldi Method for the Solution of the Quadratic Eigenvalue Problem

We first introduce a second-order Krylov subspace $\mathcal{G}_n$(A,B;u) based on a pair of square matrices A and B and a vector u. The subspace is spanned by a sequence of vectors defined via a second-order linear homogeneous recurrence relation with coefficient matrices A and B and an initial vector u. It generalizes the well-known Krylov subspace $\mathcal{K}_n$(A;v), which is spanned by a sequence of vectors defined via a first-order linear homogeneous recurrence relation with a single coefficient matrix A and an initial vector v. Then we present a second-order Arnoldi (SOAR) procedure for generating an orthonormal basis of $\mathcal{G}_n$(A,B;u). By applying the standard Rayleigh--Ritz orthogonal projection technique, we derive an SOAR method for solving a large-scale quadratic eigenvalue problem (QEP). This method is applied to the QEP directly. Hence it preserves essential structures and properties of the QEP. Numerical examples demonstrate that the SOAR method outperforms convergence behaviors of the Krylov subspace--based Arnoldi method applied to the linearized QEP.

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