Condition number and backward error for the generalized singular value decomposition

DOI10.1137/S0895479898348854MaRDI QIDQ2706259zbMATH OpenOpenAlexFDO

Authors Ji-guang Sun

Publication date 19 March 2001

Published in SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0895479898348854

zbMATH Keywords

backward errorcondition numbergeneralized singular valuegeneralized singular vector groupmatrix pairnumerical examplessingular value decompositions

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Numerical solutions to overdetermined systems, pseudoinverses (65F20) Numerical computation of matrix norms, conditioning, scaling (65F35)

Review text

The present paper is a continuation of the author's work [Math. Numer. Sin. 4, 229-232 (1982; Zbl 0559.15013), SIAM J. Numer. Anal. 20, 611-625 (1983; Zbl 0563.65024), Numer. Math. 79, No. 4, 615-641 (1998; Zbl 0907.65038)]. NEWLINENEWLINENEWLINEThe author defines certain normwise condition numbers for a finite generalized singular value of the matrix pair \(\{A,B\}\), where \(A\) and \(B\) are matrices having the same number of columns and \((A^\top,B^\top)^\top\) has full column rank. Explicit expressions of the condition numbers for a simple, nonzero generalized singular value are given. Connections between the presented results and known results in the case of ordinary singular value decompositions are discussed. Furthermore, a normwise backward error of \(\{A,B\}\) with respect to an approximate generalized singular value and an associated approximate generalized singular value group is defined. A computable formula of this backward error is given. The theoretical results are illustrated by two numerical examples.

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(12)

• A note on simple nonzero finite generalized singular values
• Rescaling the GSVD with application to ill-posed problems
• Analytical solutions of a class of matrix function optimization problems with unitary constraints
• Analytic solutions of a class of extended constrained matrix maximization problems
• An extension of analytic solutions of a class of constrained matrix minimization problems
• On worst-case condition numbers of a multiple nonzero finite generalized singular value
• Perturbation analysis for the sign functions of regular matrix pairs.
• A Note on Backward Error Analysis of the Generalized Singular Value Decomposition
• On the explicit expression of chordal metric between generalized singular values of Grassmann matrix pairs with applications
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• Mathematics of Surfaces XI
• Sensitivity analysis for the generalized singular value decomposition

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