  We present a finite difference method to compute the principal eigenvalue and
the corresponding eigenfunction for a large class of second order elliptic
operators including notably linear operators in nondivergence form and fully
nonlinear operators. The principal eigenvalue is computed by solving a
finite-dimensional nonlinear min-max optimization problem. We prove the
convergence of the method and we discuss its implementation. Some examples
where the exact solution is explicitly known show the effectiveness of the
method.
