I have a problem where I need to diagonalize a large number of small Hermitian matrices. Typically the matrices are between 4 and 64 in size (skewed towards the low end) and the number of matrices is on the order of millions. This is then repeated many times, so I have been trying to figure out the best way to go about this.Most of the performance information I've been able to gather seems to focus on the case for matrices that are significantly larger.So the question is:Is there an algorithm (or implementation thereof) that is particularly suited for diagonalizing small (Hermitian) matrices?
What is the most efficient way to diagonalize small matrices?
linear algebra