Algorithm 845: EIGIFP: A MATLAB program for solving large symmetric generalized eigenvalue problems

eigif p is a MATLAB program for computing a few extreme eigenvalues and eigenvectors of the large symmetric generalized eigenvalue problem Ax = λBx. It is a black-box implementation of an inverse free preconditioned Krylov subspace projection method developed by Golub and Ye [2002]. It has important features that allow it to solve some difficult problems without any input from users. It is particularly suitable for problems where preconditioning by the standard shift-and-invert transformation is not feasible.