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arXiv 2006.02753math.NAcs.NA
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精确计算埃尔米特矩阵特征值和一般矩阵奇异值的数值方法

Numerical methods for accurate computation of the eigenvalues of Hermitian matrices and the singular values of general matrices

Zlatko Drmač

摘要:

本文综述了计算埃尔米特矩阵特征值和一般矩阵及几类结构矩阵奇异值的数值方法。重点是方法背后的主要原则,即使在传统方法条件不佳的情况下,也能保证高精度。首先,它示出了一个特定的结构中的误差在一个有限精度的算法的实现允许一个更好的措施的灵敏度和高精度的计算是可能的,尽管一个大的经典条件数。这种由有限精度计算引起的结构化误差在某些算法中是例如条目方向或列方向小的,这比通常认为的仅当在Frobenius矩阵范数中测量时一般小的误差好得多。专门定制的扰动理论,这种结构的扰动埃尔米特矩阵保证更好的界限,相对误差的计算特征值。其次,我们回顾了一种非传统的方法来精确计算的奇异值和特征值的一些臭名昭著的病态结构矩阵,例如,柯西,范德蒙和汉克尔矩阵。精确算法的显著特征是使用定义这种矩阵的内参数来获得非正交因子分解,例如\textsf{LDU}因子分解,然后计算由此计算的因子的乘积的奇异值。最先进的软件的状态进行了讨论。

英文摘要:

This paper offers a review of numerical methods for computation of the eigenvalues of Hermitian matrices and the singular values of general and some classes of structured matrices. The focus is on the main principles behind the methods that guarantee high accuracy even in the cases that are ill-conditioned for the conventional methods. First, it is shown that a particular structure of the errors in a finite precision implementation of an algorithm allows for a much better measure of sensitivity and that computation with high accuracy is possible despite a large classical condition number. Such structured errors incurred by finite precision computation are in some algorithms e.g. entry-wise or column-wise small, which is much better than the usually considered errors that are in general small only when measured in the Frobenius matrix norm. Specially tailored perturbation theory for such structured perturbations of Hermitian matrices guarantees much better bounds for the relative errors in the computed eigenvalues. % Secondly, we review an unconventional approach to accurate computation of the singular values and eigenvalues of some notoriously ill-conditioned structured matrices, such as e.g. Cauchy, Vandermonde and Hankel matrices. The distinctive feature of accurate algorithms is using the intrinsic parameters that define such matrices to obtain a non-orthogonal factorization, such as the \textsf{LDU} factorization, and then computing the singular values of the product of thus computed factors. The state of the art software is discussed as well.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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