Error analysis of QR algorithms for computing Lyapunov exponents

MaRDI QIDQ1866489zbMATH OpenFDO

Authors Edward J. McDonald, Desmond J. Higham

Publication date 30 October 2003

Published in ETNA - Electronic Transactions on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/122955, http://www.emis.de/journals/ETNA/vol.12.2001/pp234-251.dir/pp234-251.html

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zbMATH Keywords

convergencedynamicseigenvalueserror analysisLyapunov exponentsnumerical examplesorthogonal iterationQR algorithmstimestepping

Mathematics Subject Classification ID

Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.) (37M25) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Numerical methods for initial value problems involving ordinary differential equations (65L05) Numerical methods for Hamiltonian systems including symplectic integrators (65P10)

Review text

The authors consider the discrete and continuous QR algorithms for a simple class of test problems: Linear and constant coefficient systems. The mathematical problem reduces to one of linear algebra: To find the eigenvalues of a matrix. Although the associated analysis of the numerical algorithms requires results from both numerical linear algebra and ordinary differential equations. Rigorous convergence results are obtained. Numerical tests are applied for the case of real distinct eigenvalues and involving complex conjugate pairs.

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Cited in

(8)

• Error analysis of Davenport's q method
• On the error in computing Lyapunov exponents by QR methods
• On the Compuation of Lyapunov Exponents for Continuous Dynamical Systems
• On the Error in QR Integration
• Jacobian free computation of Lyapunov exponents
• Jacobi elliptic function method for (2+1)-dimensional Maccari system with multiplicative Brownian noise: solitary wave solutions, nonlinear dynamics and numerical verification
• Perturbation theory for approximation of Lyapunov exponents by QR methods
• Routes to chaos in high-dimensional dynamical systems: a qualitative numerical study

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