C-RISE ALGORITHM FOR EIGENDECOMPOSITION OF HERMITIAN PENCILS

An order-recursive algorithm is presented for the generalised eigendec omposition of definite Hermitian pencils. An important feature is that it consists of a number (equal to the current order) of independent i terative eigenvalue searches followed by direct computation of the cor responding eigenvectors. The independence aspect produces the potentia l for parallel hardware implementations. The order-recursive nature of the algorithm results in the potential for solving problems of an a p riori unknown, adequate minimal size rather than a single maximum size only. Such algorithms may be useful for sensor-array signal processin g, for example in early direction-of-arrival estimation; The order-rec ursive nature is not detrimental to numerical performance, as it is sh own that the algorithm is competitive with standard algorithms solving the single maximum-size problem only.