[Math] Lanczos algorithm for finding $k$ smallest eigenvector

eigenvalueseigenvectorlinear algebranumerical linear algebrara.rings-and-algebras

I am trying (and have been recommended) to use the Lanczos algorithm to find the $k$ smallest eigenvectors. However, all of the literature seems to talk about this algorithm as a way to estimate the $k$ largest eigenvectors.

Just to clarify, by largest or smallest eigenvector I mean the eigenvector with the largest / smallest eigenvalue respectively.

I am wondering if anyone has any advice on how we can use Lanczos for the $k$ smallest instead of largest eigenvectors?

Best Answer

You use inverse iteration, as described very well in Sanghavi's UTexas notes.

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