On choices of formulations of computing the generalized singular value decomposition of a large matrix pair

DOI10.1007/S11075-020-00984-9zbMATH Open1465.65027arXiv1907.10392OpenAlexW3048127993MaRDI QIDQ2028035FDOQ2028035

Authors: Jinzhi Huang, Zhongxiao Jia 

Publication date: 31 May 2021

Published in: Numerical Algorithms (Search for Journal in Brave)

Abstract: For the computation of the generalized singular value decomposition (GSVD) of a large matrix pair $(A,B)$ of full column rank, the GSVD is commonly formulated as two mathematically equivalent generalized eigenvalue problems, so that a generalized eigensolver can be applied to one of them and the desired GSVD components are then recovered from the computed generalized eigenpairs. Our concern in this paper is, in finite precision arithmetic, which generalized eigenvalue formulation is numerically preferable to compute the desired GSVD components more accurately. We make a detailed perturbation analysis on the two formulations and show how to make a suitable choice between them. Numerical experiments illustrate the results obtained.

Full work available at URL: https://arxiv.org/abs/1907.10392

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zbMATH Keywords

condition numbereigensolverperturbation analysisgeneralized singular value decompositiongeneralized eigenpair

Mathematics Subject Classification ID

Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Numerical computation of matrix norms, conditioning, scaling (65F35) Conditioning of matrices (15A12)

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Cited In (5)

• An Augmented Matrix-Based CJ-FEAST SVDsolver for Computing a Partial Singular Value Decomposition with the Singular Values in a Given Interval
• The Joint Bidiagonalization Method for Large GSVD Computations in Finite Precision
• Two harmonic Jacobi-Davidson methods for computing a partial generalized singular value decomposition of a large matrix pair
• A cross-product free Jacobi-Davidson type method for computing a partial generalized singular value decomposition of a large matrix pair
• Thick-restarted joint Lanczos bidiagonalization for the GSVD

Uses Software

• JDQR
• SparseMatrix
• UTV
• JDQZ

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