A simple method for error bounds of eigenvalues of symmetric matrices

DOI10.1016/S0024-3795(00)00274-3MaRDI QIDQ5940698zbMATH OpenFDO

Publication date 16 August 2001

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

Full work available at URL https://doi.org/10.1016/S0024-3795(00)00274-3

Cholesky decompositions error bounds generalized eigenvalue problem interval arithmetic symmetric matrix

Inequalities involving eigenvalues and eigenvectors (15A42) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Interval and finite arithmetic (65G30)

Review text

If \(\rho_1\leq\rho_2\leq\cdots\leq\rho_n\) are the eigenvalues of a symmetric matrix \(A\) and \(\widetilde{\rho}\) is an approximate eigenvalue, then, given \(\delta_1,\delta_2\geq 0\), it is shown how to compute an interval \([\widetilde{\rho}-\varepsilon(\delta_1),\widetilde{\rho}+\varepsilon(\delta_2))\) that contains the eigenvalues \(\rho_k,\ldots,\rho_{k+r}\), where \(k-1\) and \(k+r\) are the number of negative eigenvalues of \(Y_1=A-(\widetilde{\rho}-\delta_1)I\) and \(Y_2=A-(\widetilde{\rho}+\delta_2)I\), respectively. The \(\varepsilon(\delta_i)\) are computed from the numerical error in the Cholesky decompositions of \(Y_i\). This technique can also be applied to the generalized eigenvalue problem \(Ax=\rho Bx\) if \(A\) and \(B\) are positive definite.

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