Hierarchical Eigensolver for Transition Matrices in Spectral Methods

We show how to build hierarchical, reduced-rank representation for large stochastic matrices and use this representation to design an efficient al- gorithm for computing the largest eigenvalues, and the corresponding eigenvectors. In particular, the eigen problem is first solved at the coars- est level of the representation. The approximate eigen solution is then interpolated over successive levels of the hierarchy. A small number of power iterations are employed at each stage to correct the eigen solution. The typical speedups obtained by a Matlab implementation of our fast eigensolver over a standard sparse matrix eigensolver [13] are at least a factor of ten for large image sizes.