Tuesday 21 July 2009

na.numerical analysis - Eigenvalues of A+B where A is symmetric positive definite and B is diagonal

The ambiguity in your question is the word 'rapidly'.



If you want to have an information on the eigenvalues of $A+B$, without any extra information besides those given in the question, then this is the problem raised By H. Weyl in 1912. The answer was conjectured in 1962 by A. Horn, and this conjecture was proved by A. Knutson and T. Tao in 1999. It is one of the works for which Tao received a Fields medal. So, the answer is that the spectrum may be any vector in a polytope in ${mathbb R}^n$ whose definition is given recursively in terms of the size $n$ of the matrix. A nice expository paper is R. Bhatia, Linear algebra to quantum cohomology: the story of A. Horn’s inequalities. Amer. Math. Monthly, 108 (2001), pp 289–318.



Historically, the interest in this question came from Quantum Mechanics.

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