Forward stable eigenvalue decomposition of rank-one modifications of diagonal matrices
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Abstract: We present a new algorithm for solving an eigenvalue problem for a real symmetric matrix which is a rank-one modification of a diagonal matrix. The algorithm computes each eigenvalue and all components of the corresponding eigenvector with high relative accuracy in operations. The algorithm is based on a shift-and-invert approach. Only a single element of the inverse of the shifted matrix eventually needs to be computed with double the working precision. Each eigenvalue and the corresponding eigenvector can be computed separately, which makes the algorithm adaptable for parallel computing. Our results extend to the complex Hermitian case. The algorithm is similar to the algorithm for solving the eigenvalue problem for real symmetric arrowhead matrices from: N. Jakovv{c}evi'{c}~Stor, I. Slapniv{c}ar and J. L. Barlow, {Accurate eigenvalue decomposition of real symmetric arrowhead matrices and applications}, Lin. Alg. Appl., 464 (2015).
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- Über die Falksche ECP-Transformation und Verallgemeinerungen
- A new method to improve the efficiency and accuracy of incremental singular value decomposition
- Note on a rank-one modification of the singular value decomposition
- On anti-pentadiagonal persymmetric Hankel matrices with perturbed corners
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