C-RISE algorithm for eigendecomposition of Hermitian pencils

An order-recursive algorithm is presented for the generalised eigendecomposition of definite Hermitian pencils. An important feature is that it consists of a number (equal to the current order) of independent iterative eigenvalue searches followed by direct computation of the corresponding eigenvectors. The independence aspect produces the potential for parallel hardware implementations. The order-recursive nature of the algorithm results in the potential for solving problems of an a priori unknown, adequate minimal size rather than a single maximum size only. Such algorithms may be useful for sensor-array signal processing, for example in early direction-of-arrival estimation. The order-recursive nature is not detrimental to numerical performance, as it is shown that the algorithm is competitive with standard algorithms solving the single maximum-size problem only