Iterative solution of the random eigenvalue problem with application to spectral stochastic finite element systems

A new algorithm for the computation of the spectral expansion of the eigenvalues and eigenvectors of a random non-symmetric matrix is proposed. The algorithm extends the deterministic inverse power method using a spectral discretization approach. The convergence and accuracy of the algorithm is studied for both symmetric and non-symmetric matrices. The method turns out to be efficient and robust compared to existing methods for the computation of the spectral expansion of random eigenvalues and eigenvectors. Copyright 2006 John Wiley & Sons, Ltd