B.1 Power method with deflation

The power method is a common method to extract the eigenvector with the largest eigenvalue (Diamantaras and Kung, 1996). Starting with a random vector , the principal eigenvector of a matrix is computed by iterating:

. | (B.1) |

max() is the component of the vector with the largest absolute value (some variants of the power method use || instead). This iteration converges to the largest eigenvector with the eigenvalue = |max()|. Further eigenvectors are obtained using deflation. After the eigenvector (number

= - , | (B.2) |

where is the eigenvalue corresponding to .

2005-03-22