JACOBI_EIGENVALUE
Eigenvalues and Eigenvectors of a Symmetric Matrix

JACOBI_EIGENVALUE is a C++ library which computes the eigenvalues and eigenvectors of a real symmetric matrix.

Given a real symmetric NxN matrix A, JACOBI_EIGENVALUE carries out an iterative procedure known as Jacobi's iteration, to determine a N-vector D of real, positive eigenvalues, and an NxN matrix V whose columns are the corresponding eigenvectors, so that, for each column J of the eigenmatrix:

        A * Vj = Dj * Vj
      

Licensing:

The computer code and data files made available on this web page are distributed under the GNU LGPL license.

Languages:

JACOBI_EIGENVALUE is available in a C version and a C++ version and a FORTRAN77 version and a FORTRAN90 version and a MATLAB version.

Related Data and Programs:

TEST_EIGEN, a C++ library which implements test matrices for eigenvalue analysis.

TEST_MAT, a C++ library which defines test matrices, some of which have known determinants, eigenvalues and eigenvectors, inverses and so on.

Reference:

1. Gene Golub, Charles VanLoan,
   Matrix Computations, Third Edition,
   Johns Hopkins, 1996,
   ISBN: 0-8018-4513-X,
   LC: QA188.G65.

Source Code:

• jacobi_eigenvalue.cpp, the source code.
• jacobi_eigenvalue.hpp, the include file.
• jacobi_eigenvalue.sh, BASH commands to compile the source code.

Examples and Tests:

• jacobi_eigenvalue_prb.cpp, a sample calling program.
• jacobi_eigenvalue_prb.sh, BASH commands to compile and run the sample program.
• jacobi_eigenvalue_prb_output.txt, the output file.

List of Routines:

• JACOBI_EIGENVALUE carries out the Jacobi eigenvalue iteration.
• R8MAT_DIAG_GET_VECTOR gets the value of the diagonal of an R8MAT.
• R8MAT_IDENTITY stores the identity matrix in an R8MAT.
• R8MAT_IS_EIGEN_RIGHT determines the error in a (right) eigensystem.
• R8MAT_NORM_FRO returns the Frobenius norm of an M by N R8MAT.
• R8MAT_PRINT prints an R8MAT.
• R8MAT_PRINT_SOME prints some of an R8MAT.
• R8VEC_PRINT prints an R8VEC.
• TIMESTAMP prints the current YMDHMS date as a time stamp.

You can go up one level to the C++ source codes.