Generalised eigenvalue problem with BigFloat

Specific Domains Numerics
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4

There are methods for generalized eigensystems of complex matrices with arbitrary precision in GenericSchur.jl. I haven’t gotten around to writing all the conventional wrappers but you can do something like

using LinearAlgebra, GenericSchur
A = rand(Complex{BigFloat},n,n)
B = rand(Complex{BigFloat},n,n)
S = schur(A,B)
V = eigvecs(S)
# check result:
resid = norm(A * V - V * B * Diagonal(S.values))

I haven’t implemented methods for the plain real or Hermitian cases.

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