INTERNATIONAL JOURNAL FOR NUMERICAL METHODS IN ENGINEERING. VOL.

3, 25-33 (1971)

AN ECONOMICAL METHOD FOR DETERMINING

THE SMALLEST EIGENVALUES OF LARGE LINEAR SYSTEMS
G. C . WRIGHT AND G. A. MILES
Department of Mathematics and Computation, Mechanical Engineering Laboratories,
The English Electric Company Limited, Cambridge Road, Whetstone, Leicester

SUMMARY
The general eigenvalue problem Ax = hBx as arising from vibration problems tackled by the finite
element method is often solved by the economization method in which the two matrices are reduced to
a more manageable size and approximate answers are obtained.
This paper analyses the method in a more mathematical way than previous accounts and leads to a
definition of the optimum set of variables to be retained during the reduction. An extension to the
method is suggested which allows the approximate eigenvalue to be improved and bounds are obtained
on the eigenvalues of the full problem before reduction.
An estimate is made of the calculation involved in the method and it is concluded, by reference to
examples, that the extended method leads to a more efficient algorithm.

INTRODUCTION
The problem of determining the vibrational frequencies of an elastic structure is often expressed
in the form of a matrix eigenvalue problem. The matrices involved are usually obtained either by
a finite difference approximation to a differential operator or by the application of finite element
methods to the corresponding variational problem. Of particular interest are the smaller eigen-
values of the problem.
The eigenvalue problem has been extensively investigatedl and many algorithms have been
developed to give accurate results. However, the solution of an eigenvalue problem involving
hundreds of variables is still time consuming and expensive and in an attempt to overcome this
problem various authors2d have applied the technique of eigenvalue economization. The full
problem is described in terms of certain key variables, usually selected by means of engineering
experience, and reduced to a much smaller problem involving only these variables. The results
for the smaller eigenvalues show good agreement with those for the full eigenvalue problem.
This paper considers the general eigenvalue problem Ax = ABx in which A is symmetric
positive definite and B is symmetric. In the analysis of an elastic structure these matrices would be
the stiffness and mass matrices.
The matrix reduction process is analysed in a manner which allows the eliminated variables to
be approximated to any degree of accuracy, although only first- and second-order approximations
are seriously considered. The first-order method is the same as that used in References 2-5, but the
method of derivation leads to a mathematical definition of what is meant by an ‘optimum selec-
tion’ of the key variables. To test the accuracy of the method, the eigenvalues of the full problem
and the reduced problem were obtained by using the QR algorithm. This method was used since
it was readily available to the authors and was considered to be a satisfactory method for use with
both symmmetric and non-symmetric matrices.
Received 28 January 1969
Revised 30 October 1969
@ 1971 by John Wiiey & Sons, Ltd.

25
26 G . C. WRIGHT AND G . A. MILES

The paper continues by describing a method for obtaining bounds on the eigenvalues of the
reduced system, regarded as approximate eigenvalues of the full system. It is shown that the
calculation of these bounds leads to an improved estimate of the eigenvalues.
The amount of computation involved in the first- and second-order methods and the calculation
of the bounds is estimated, to enable the efficiency of these methods and a simple iterative method
to be compared. The results obtained by the method are given for the modes of vibration of a
rectangular membrane and two cantilever plates.

MATRIX REDUCTION
Consider the general eigenvalue problem Ax = Abx partitioned in the following manner:
A B D E

Expanding, we have
[BT C ] [:]=A[ET F] [:]
Ay+Bz = A(Dy+Ez)
BTy+Cz = A(ETy+Fz)
therefore
z = (C - hF)"(AET - BT)y
that is,
z = (I- AC-lF)-lC-'(AET-BT)y
= (I- AC-'F-(AC-1F)2-(AC-1F)3- ...) C-'(AET-BT)y (2)
Substituting for z in equation (1) and retaining terms in A2 leads to the eigenvalue problem,
(A - BC-l BT)y = +
A(D - BC-I ET- EC-l BT BC-' FC-l BT)y
+ A2(EC-l ET -BC-' FC-' E T - EC-' FC-l BT+ BC-I FC-l FC-l BT)y (3)
which will be referred to as Gy = AHy + A2 Ky.
If the term in A2 is omitted, this reduction is the same as that described in References 2-5,
but if retained we have a second-order eigenvalue problem which can be reduced to first-order
by putting x = Ay and considering the equation

It should be noted that when k variables are retained the second-order method results in a
non-symmetric eigenvalue problem of order 2k, whereas the first-order method leads to a
symmetric problem of order k.
The manner in which equation (3) has been deduced gives some information on how to select
the key variables. The essential step in the reduction is the expansion of the matrix (I- AC-l F)-l
in series form and the truncation of this series. The series expansion is convergent only if all the
eigenvalues of AC-lF are less than unity in modulus.
Denoting the eigenvalues of (A- Afi) x = 0 by
A,<A,Q ... < A ,
and those of (C-pF)x = 0 by
po<p1< ... < p m
it can easily be shown, by considering the generalized Rayleigh quotient, that A,, < d pmd A,.
In fact, A, = po only if there is a mode of vibration of the full structure associated with the lowest
eigenvalue of the problem which has zero values for all the variables contained in the sub-matrix
A of A. This possibility can be discounted, since it can only occur if the structure is composed of
 EIGENVALUES OF LARGE LINEAR SYSTEMS 27

several substructures, each of which is free to vibrate independently, and the key variables that
have been selected completely cover some substructures and ignore the rest. Thus we can assume
that A,, < p,,.
The eigenvalues of AC-I F are
A X h
-<-< ...<-
Pm Pm-I PO
and it has been noted that for the expansion we require Alp0< 1. The argument above has shown
that for X = A,, we can assume this condition to hold, and in general it will be true for several of
the smaller values A,. Thus the expansion is convergent for all the eigenvalues of A- A n which
are less than po, and we can expect to obtain an approximation to these values by solving the
reduced problem.
Since the expansion has been truncated after two or three terms we cannot expect an eigenvalue
of the reduced problem to be exactly equal to an eigenvalue of the original problem. The accuracy
of the approximation to an eigenvalue A, will depend upon the smallness of the ratio Xi/poand will
in general decrease as the value of hiincreases. The only way in which the accuracy can be improved
or the number of eigenvalues which can be approximated increased is to make the value of po
larger. If a specific number of variables is being selected, say k , then each set of k variables
defines the matrices C and F, and hence p,,. Thus we see that the optimum choice of the k variables
is the one which gives the maximum value for the lowest eigenvalue of (C-pF). But the eigen-
values of (C - pF) lead to the frequencies of the original structure when it is constrained so that
the values of the k variables that have been selected are equal to zero.
Thus we can consider each set of k variables to correspond to a structure in which each of these
variables has its value fixed at zero. The optimum choice of the variables is the one which leads
to the maximum value for the minimum eigenvalue of the corresponding constrained structure.
In other words, the clamping of the k variables selected should make the structure as rigid as
possible. In particular, this means that where certain parts of a structure are more flexible than
others, then a higher proportion of variables should be selected in a region of high flexibility than
in a region which is more rigid.

BOUND ALGORITHM
The accuracy of the economization method depends mainly on the choice of the variables to be
retained, and in all papers published on this method to date no indication is given of how to
decide whether the results are accurate or not, other than by solving the full eigenvalue problem
or by experimental verification. This paper suggests a slight extension to the method which enables
bounds to be obtained on an eigenvalue of the reduced set of equations regarded as an eigenvalue
of the full system. Thus a single number of unknown accuracy is replaced by two bounds within
which an eigenvalue of the full system must lie, irrespective of the choice of the key variables.
The idea for the bound algorithm was taken from a paper by Fox and oth&s,8 in which the
authors give approximations and bounds for eigenvalues of elliptic operators. They use a result
due to Krylor and Bogolinov which states that for a self-adjoint operator A with a set of eigen-
values and eigenfunctions, A, and u,, there exists an eigenvalue hk such that

where

and v is a linear combination of the eigenfunctions ui ... .

28 G. C. WRIGHT AND G . A. MILES

This result holds true for the more general problem M X = AKx with D and P defined as
UTMK-l Mu vT Mu
02 =
vT Ku and p = V T I ( u

T~ apply fie bound algorithm it is necessary to obtain the full modal shape CorresPonding to
any eigenvalw by using equation (2), truncated at the appropriate term, to recalculate the
eliminated variables.
It can be Seen that p (the generalized Rayleigh quotient) iS a better approximation to the eigen-
value than &, and this will be called ‘the improved solution’.
COMPUTATIONAL ASPECTS
The previous two sections have analysed the eigenvalue economization method with terms of
first- or second-order in A retained and have proposed the calculation of bounds on the eigen-
values produced. In order to compare the efficiency of the various methods with one another and
with standard iterative techniques, it is essential to have some estimate of the amount of corn-
putation involved in the various methods.
The estimates that follow are based on the assumption that any set of equations involving the
band matrix C are solved by using the Choleski (square-root) factorization method, and that a
matrix W = C-lBT is obtained by solving the set of equations CW = BT. This method of
solution is obviously not the only one, but is an accurate and economical one for a positive-
definite band-matrix, and the conclusions that follow should be true for most other methods.
The most general case that has been considered is that of equation (3) which involves the
calculation of three matrices. We assume that the matrices A and D are of order k x k, B and E
of order k x m , and C and F of order m x m , and let the total bandwidth of A, and hence of
A, C, D and F,be 2b+ 1.
The number of arithmetic operations required to factorize C is approximately &@+ 1)2 with
a further 2m(b+l) required to obtain one solution vector. An arithmetic operation implies a
multiplication and an addition, since the calculation consists almost entirely of the formation of
scalar products.
Thus, we state that the number of operations required to form the matrices of equation (3) is
approximately
8mk(b+ 1)+6k2m+4m(b+
neglecting smaller-order terms arising from the addition of matrices.
Similarly, if only first-order terms in X are retained, the number of operations is
+ +
k k ( b 1) + 3karn +im(b 1)*
To obtain bounds on the eigenvalues, the full eigenvector has to be computed from equation (2).
Most of the matrices required have been calculated during the reduction process and the opera-
tions required per root for the first- and second-order methods resiectively are 3km and
2mk+4mb.
To complete the calculation of u and p it is necessary to factorize either A or b of order
+ + +
(m k) x (m k). Since k is small compared to m, we use m for (m k), and find the extra opera-
tions involved in calculating u and p to be 4mb per root plus tm(b+ l)*.
Thus the total extra work involved in calculating the bound for the first-order method is
( h b + 3mk) per root, plus 4m(b+ 1p
and for the second-order method is
+ +
(8mb 2mk) per root, plus im(b l)a
 EIGENVALUES OF LARGE LINEAR SYSTEMS 29

EXAMPLES
Using the methods described in this paper, results were obtained for the modes of vibration of a
rectangular membrane and two cantilever plates. The results are shown in Tables 1-111 and show
the percentage errors, using k and 2k points, in the reduced (equivalent to [4] and [ 5 ] ) and improved
solutions and the error bound. The true solution for each mode is also given, and it should be
noted that these values represent
D
w2 = (non-dimensional frequency)2-
Pd’
Each table is preceded by a diagram indicating the nodes retained in the elimination process.
For the two plate problems only the lateral displacement is retained at these nodes.

Table I. Rectangular membrane

Fff=ffR
Mode Number of points Reduced solution Improved solution f Bound
and order (% error) (% error) ( %)
1 10.1 0.80472 0.73873 0.06736
(9.06) (0.094) (9.12)
(0-73803) 5.1 0.87043 0.74609 0.15443
(1 7-94) (1 -09) (20.69)
5.2 0.77680 0.73869 0,04437
(5.25) (0.089) (6.01)
2 10.1 1.3333 1.1765 0-1664
(13.80) (0.42) (14.14)
(1 1716) 5.1 1.5150 1.2639 0.509 1
(29.31) (7.88) (40.28)
5.2 1-3112 1.1850 0.1 995
(1 1.91) (1.14) (1 6.84)
3 10.1 2.1685 1.8530 0.3755
(19.12) (1 -79) (20.26)
(1 -8204) 5.1 2-6001 2.6146 1.1225
(42.83) (43.64) (42.93)
5.2 2.2534 2.1351 1a0790
(23.79) (17.28) (50.54)
30 G . C. WRIGHT AND G. A. MILES

Table 11. Rectangular plate

Mode Number of points Reduced solution Improved solution k Bound

and order ( % error) (% error) ( %)
1 8.1 283.405 283.345 4.179
(0.021) (0) ( 1.47)
(283.345) 4.1 284.074 283.345 4.221
(0.257) (0) (1 -49)
4.2 283.348 283-345 4.644
(0.001) (0) (1.64)
2 8.1 2686.27 2677.17 41.79
(033) (0) (1.56)
(2677.17) 4.1 2778.64 2677.11 76.63
(3.79) (0.002) (2-86)
4.2 2682.73 2677-50 260.98
(0.21) (0.01 3) (9.75)
3 8.1 11391.7 11176-1 318.5
(1-93) (0.003) (2.85)
(11175.8) 4.1 11770.3 11176.9 707.6
(5.32) (0.009) (6.33)
4-2 11248.8 11187.8 13004
(0.65) (0-107) (1 1*62)

4 8.1 34878.5 3 1530.9 5019.4

(10.7) (0.14) (15.9)
(31485.9) 4.1 38300.5 33177-1 6940.5
(21.6) (5.04) (20.9)
4.2 35131.3 33906.4 9841.6
(1 1-6) (7.49) (29.0)
 EIGENVALUES OF LARGE LINEAR SYSTEMS 31

Table 111. Square plate

Mode Number of points Reduced solution Improved solution ? Bound

and order ( % error) ( % error) ( %,
1 10.1 285.339 285.276 4.486
(0,022) (0) (1 5 7 )
(285.276) 5.1 285.990 285.276 4.525
(0.250) (0) (1.59)
5.2 285.279 285.276 4.891
(0.001) (0) (1.71)
2 10.1 1723.82 1720.56 3.53
(0.19) (0) (0.20)
(1720-56) 5.1 1756.35 1720.55 26-71
(2.08) (0.001) (15 5 )
5-2 1721.67 1720.60 93.84
(0.06) (0,002) (5.45)
3 101 11171.9 10994.8 207.0
(1.61) (0-005) (1' 9 )
(1099403) 5.1 11534-4 10997.7 625-5
(4.91) (0.03 1) (5.7)
5.2 11054.0 11002.4 1125.4
(0.54) (0.074) ( 10.2)

4 10.1 17740.1 17270.3 517.9

(2.7) (0.003) (3.0)
(17269.7) 5.1 21 829.4 17815.3 3656.6
(26.4) -
(3 159) (20.5)
5.2 18849.1 17860.3 6500.0
(9.1) (3.419) (36-4)
5 10.1 23951.0 22655.8 1407.2
(5.7) (0.02) (6.2)
(22650.3) 5.1 27580.1 22026.4 5221.8
(21.8) (2.8) (23.7)
5.2 24139.6 23093-3 7822-9
(6.6) (2.0) (33.9)
32 G . C . WRIGHT AND G . A. MILES

CONCLUSIONS
Only three simple examples have been examined but it is obvious that the application of the
bound algorithm is worthy of consideration.
We first compare the first- and second-order methods and note, from the tables, that the first-
order method with the bound correction is always more accurate than the second-order method
without the correction and, in general, is more accurate than the second-order method with the
correction for the two cantilever plates.
The work involved for the first-order method with the correction and the second-order method
without the correction is, respectively,
+ +
4mkb + 3k2m + m(b 1)2 (4mb + 3mk) r + QR(k)
and (4)
8mkb + 6k2m + am(b + 1)3. + QR(2k)
where r G k is the number of roots computed and QR(k) represents the number of operations
for the Q R algorithm. This is approximately 4/3k3pwhere p is the number of iterations for each
root.
For r = k the work involved in the two cases is approximately the same, but when r < k the
first-order method is more economical. Thus, considering the accuracy of the two methods also,
we see that the second-order method is inferior and further discussion is restricted to the first-
order method.
An important question is whether it is better to apply the bound algorithm or to increase the
number of key variables, and we see from the tables that the first-order method with the bound
correction using k points is nearly always more accurate than the first-order method using 2k
points. Thus to obtain an improvement in accuracy comparable to the bound correction we must
at least double the number of points.
The work involved for the first-order method using 2k points can easily be calculated and is
found to be greater than that for the first-order method with the bound corrections for k points,
especially when r < k .
Thus we come to the conclusion that the first-order method with the bound correction is
superior to any of the variants described in this paper.
In addition we compare this method with an iterative technique for computing a few of the
smallest (largest) eigenvalues. For the iterative method it is economical to factorize K (or M) such
that K = SST and then iterate with S-lM(S-l)T. One such iterative involves 4m(b+ 1) multi-
plications, and assuming that q iterations give the same degree of accuracy as the reduction
process, the total number of operations for finding k roots is

$m(b + +4m(b + 1) k q
Equating this expression with equation (4) for r = k , we have
3k I b lk2p
q=2+--+--+--
2 b 8 k 3mb
and allowing b, k and m to assume typical values, i.e. k- 2b, b2= m, p < k, this becomes q? 7 and
it is unlikely that an iterative process will converge in seven iterations for each of the first k roots.
In particular, we consider the problem of finding the lowest eigenvalue only, since this is the
most favourable case for an iterative method, illustrated with reference to the square plate of
Table 111. Since there are three degrees of freedom in this problem, we have m = 60, b = 18,
k = 5 and take p = 4.
 EIGENVALUES OF LARGE LINEAR SYSTEMS 33

If the work done in the reduction process is equivalent to q iterations, we find q= 10 and, again,
it is doubtful if this could be achieved.
If an iterative method with an efficient method of acceleration is used it may be possible to solve
this problem in ten iterations. However, the reduction method has also supplied information
about the next four eigenvalues (without calculating the bounds) and has given a very accurate
answer. To calculate only the lowest eigenvalue, a value of k less than five would probably be
sufficient, and the reduction method appears to be efficient even for this case.
In conclusion, it is worth commenting on the value of calculating the bound. At first sight it
would appear disappointing that the bounds are not tighter, but on closer inspection this is found to
be caused largely by the inaccuracy of the original eigenvalue. Confining attention to the case of
the square plate with only five variables retained as shown in Table I11 we see that the percentage
error bounds on the five improved eigenvalues are 1-6, 1.6, 5-7, 20.5 and 23.7 respectively. The
first two of these figures can be regarded as acceptable and the third probably is also. We then
note that the third value was in error by 4.9 per cent before improvement reduced this to 0-03 per
cent and the fourth and fifth values had errors of over 20 per cent reduced to approximately
3 per cent. In fact, for three out of the five values, the original value has not merely been improved
but has been shown to be impossible since it does not lie within the bounds.
In view of these final comments it would appear that the extension to the standard eigenvalue
economization method suggested in this paper is well worth while.

ACKNOWLEDGEMENT

This paper has been written as part of the research programme of the Mechanical Engineering
Laboratory of the English Electric Co. Ltd., and is published with their permission.

REFERENCES
1. J. H. Wilkinson, The Algebraic Eigenvalue Problem, Clarendon Press, Oxford, 1965.
2. R. J. Guyan, ‘Reduction of stiffness and mass matrices’, AZAA Jnl, 3, 2, 380 (1965).
3. B. Irons, ‘Structural eigenvalue problems: elimination of unwanted variables’, AIAA Jnl, 3, 5, 961 (1965).
4. 0. C. Zienkiewicz, The Finite Element Method in Structural and Continuum Mechanics, McCraw-Hill,
New York, 1967, p. 266.
5. R. G . Anderson, B. M. Irons and 0. C. Zienkiewicz, ‘Vibration and stability of plates’, Int. J . Solids Struct.,
4, 1031 (1968).
6. R. Fox, P. Henrici and C. Moler, ‘Approximations and bounds for eigenvalues of elliptic operators’, SIAM
Jnl Num. Analysis, 4, 1, 89 (1967).