Exercise "matrix diagonalization"

  1. Implement the Jacobi rotation method for matrix diagonalization using the cyclic Jacobi algorithm.

  2. Investigate the time it takes to diagonalize a matrix with classic and cyclic Jacobi algorithms for the following classes of (real symmetric) matrices:
    1. random matrices;
    2. matrices which are diagonal except for the last column, which is random.
  3. Implement the inverse iteration method.
  4. Compare the effectiveness of the Jacobi rotation method and inverse iteration method:
    1. when only few eigenvalues are needed
    2. when all eigenvalues should be calculated