A Cholesky LR algorithm for the positive definite symmetric diagonal-plus-semiseparable eigenproblem

DOI10.1016/J.LAA.2007.07.006MaRDI QIDQ2465323zbMATH OpenOpenAlexFDO

Authors Bor Plestenjak, Marc van Barel, Ellen Van Camp

Publication date 3 January 2008

Published in Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.laa.2007.07.006

zbMATH Keywords

Cholesky decompositiondiagonal-plus-semiseparable matrixLaguerre's methodLR algorithmnumerical resultspositive definitesymmetric eigenvalue problem

Mathematics Subject Classification ID

Numerical computation of eigenvalues and eigenvectors of matrices (65F15)

Review text

Many algorithms are known for solving the symmetric eigenvalue problem. Among others, an orthogonal similarity reduction was recently presented to reduce a symmetric matrix into a diagonal-plus-semiseparable one (denoted DPSS) with free choice of the diagonal. This paper presents an efficient Cholesky LR algorithm to compute the eigenvalues of a positive definite DPSS matrix, preserving the DPSS structure. A useful feature is that the eigenvalues are computed from the smallest to the largest one, so this algorithm looks very suitable for those problems, where only a couple of the smallest eigenvalues are required. Reported numerical results show that the accuracy exhibited by the presented methods looks competitive with analogous LAPACK routines.

Recommendations

• A divide-and-conquer algorithm for the eigendecomposition of symmetric block-diagonal plus semiseparable matrices
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• scientific article; zbMATH DE number 1974608

Cites work

• A divide-and-conquer algorithm for the eigendecomposition of symmetric block-diagonal plus semiseparable matrices
• A new look at the Lanczos algorithm for solving symmetric systems of linear equations
• A note on the recursive calculation of dominant singular subspaces
• An implicit QR algorithm for symmetric semiseparable matrices
• Divide and conquer algorithms for computing the eigendecomposition of symmetric diagonal-plus-semiseparable matrices
• Fast inversion algorithms for a class of block structured matrices
• Fast inversion algorithms for diagonal plus semiseparable matrices
• Generalized Hessenberg matrices.
• scientific article; zbMATH DE number 961607 (Why is no real title available?)
• LAPACK Users' Guide
• LR algorithm with Laguerre shift for symmetric tridiagonal matrices
• Orthogonal similarity transformation of a symmetric matrix into a diagonal-plus-semiseparable one with free choice of the diagonal
• Rational Krylov matrices and QR steps on Hermitian diagonal‐plus‐semiseparable matrices
• Structures preserved by the QR-algorithm

Cited in

(6)

• Direct and inverse eigenvalue problems for diagonal-plus-semiseparable matrices
• A divide-and-conquer algorithm for the eigendecomposition of symmetric block-diagonal plus semiseparable matrices
• Divide and conquer algorithms for computing the eigendecomposition of symmetric diagonal-plus-semiseparable matrices
• Robust Approximate Cholesky Factorization of Rank-Structured Symmetric Positive Definite Matrices
• The LR Cholesky algorithm for symmetric hierarchical matrices
• Cholesky decomposition of a positive semidefinite matrix with known kernel

Describes a project that uses

Uses Software

• LAPACK

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