I'm want to solve the generlized eigen value problem (Ax=Lambda Bx) where B is not possitive definate (has zeros along some diagonals). I have been using dsygvx by putting in small bodged values along the diagonals where zero to try and push the corresponding eigen values high. However, the results are very sensitive to these bodged values.
I have found a solver called Arpack that seems to do what I want (I am interested in this solver anyway as it solves sparse matrices) but don't know how to compile it. I'm working in Visual Studio 2008 using C# which lets me call functions in Fortran Dlls.
My questions are:
Does MKL offer anything similar to what Arpack can do?
It seems that Arpack could be distributed with MKL, are there any plans to do this? This would solve my compilation problem.
If not, does anyone have any tips for compiling Arpack to a Win32/Win64 Dll? Win64 target is important for me.