Spectral division methods for block generalized Schur decompositions

We provide a different perspective of the spectral division methods for block generalized Schur decompositions of matrix pairs. The new approach exposes more algebraic structures of the successive matrix pairs in the spectral division iterations and reveals some potential computational difficulties. We present modified algorithms to reduce the arithmetic cost by nearly 50%, remove inconsistency in spectral subspace extraction from different sides (left and right), and improve the accuracy of subspaces. In application problems that only require a single-sided deflating subspace, our algorithms can be used to obtain a posteriori estimates on the backward accuracy of the computed subspaces with little extra cost.

[1]  J. Demmel,et al.  Using the Matrix Sign Function to Compute Invariant Subspaces , 1998, SIAM J. Matrix Anal. Appl..

[2]  Christian H. Bischof,et al.  A BLAS-3 Version of the QR Factorization with Column Pivoting , 1998, SIAM J. Sci. Comput..

[3]  A. Malyshev Parallel Algorithm for Solving Some Spectral Problems of Linear Algebra , 1993 .

[4]  S. Godunov,et al.  Circular dichotomy of the spectrum of a matrix , 1988 .

[5]  Christian H. Bischof,et al.  Computing rank-revealing QR factorizations of dense matrices , 1998, TOMS.

[6]  C. Pan,et al.  Rank-Revealing QR Factorizations and the Singular Value Decomposition , 1992 .

[7]  V. Kublanovskaya,et al.  An approach to solving the spectral problem of A-λB , 1983 .

[8]  L. Auslander,et al.  On parallelizable eigensolvers , 1992 .

[9]  G. Stewart,et al.  An Algorithm for Generalized Matrix Eigenvalue Problems. , 1973 .

[10]  Enrique S. Quintana-Ortí,et al.  Parallel Algorithms for Computing Rank-Revealing QR Factorizations , 1997 .

[11]  James Demmel,et al.  The Spectral Decomposition of Nonsymmetric Matrices on Distributed Memory Parallel Computers , 1997, SIAM J. Sci. Comput..

[12]  G. Stewart Perturbation Theory for the Generalized Eigenvalue Problem , 1978 .

[13]  P. Dooren Reducing subspaces: Definitions, properties and algorithms , 1983 .

[14]  G. W. Stewart,et al.  An updating algorithm for subspace tracking , 1992, IEEE Trans. Signal Process..

[15]  Enrique S. Quintana-Ortí,et al.  Solving stable generalized Lyapunov equations with the matrix sign function , 1999, Numerical Algorithms.

[16]  A. Laub,et al.  Rational iterative methods for the matrix sign function , 1991 .

[17]  Judith Gardiner,et al.  A generalization of the matrix sign function solution for algebraic Riccati equations , 1985, 1985 24th IEEE Conference on Decision and Control.

[18]  Huibert Kwakernaak,et al.  Linear Optimal Control Systems , 1972 .

[19]  S. Godunov Problem of the dichotomy of the spectrum of a matrix , 1986 .

[20]  J. D. Roberts,et al.  Linear model reduction and solution of the algebraic Riccati equation by use of the sign function , 1980 .

[21]  A. Varga On stabilization methods of descriptor systems , 1995 .

[22]  Alan J. Laub,et al.  A Parallel Algorithm for the Matrix Sign Function , 1990, Int. J. High Speed Comput..

[23]  A. Laub,et al.  Generalized eigenproblem algorithms and software for algebraic Riccati equations , 1984, Proceedings of the IEEE.

[24]  G. Stewart On the Sensitivity of the Eigenvalue Problem $Ax = \lambda Bx$ , 1972 .

[25]  V. Kublanovskaya AB-Algorithm and its modifications for the spectral problems of linear pencils of matrices , 1984 .

[26]  J. Demmel,et al.  An inverse free parallel spectral divide and conquer algorithm for nonsymmetric eigenproblems , 1997 .

[27]  James Demmel,et al.  Design of a Parallel Nonsymmetric Eigenroutine Toolbox, Part I , 1993, PPSC.

[28]  V. N. Bogaevski,et al.  Matrix Perturbation Theory , 1991 .