Two harmonic Jacobi-Davidson methods for computing a partial generalized singular value decomposition of a large matrix pair

DOI10.1007/S10915-022-01993-7zbMATH Open1502.65014arXiv2201.02903OpenAlexW4226113869WikidataQ114225510 ScholiaQ114225510MaRDI QIDQ2676809FDOQ2676809

Authors: Jinzhi Huang, Zhongxiao Jia 

Publication date: 28 September 2022

Published in: Journal of Scientific Computing (Search for Journal in Brave)

Abstract: Two harmonic extraction based Jacobi--Davidson (JD) type algorithms are proposed to compute a partial generalized singular value decomposition (GSVD) of a large regular matrix pair. They are called cross product-free (CPF) and inverse-free (IF) harmonic JDGSVD algorithms, abbreviated as CPF-HJDGSVD and IF-HJDGSVD, respectively. Compared with the standard extraction based JDGSVD algorithm, the harmonic extraction based algorithms converge more regularly and suit better for computing GSVD components corresponding to interior generalized singular values. Thick-restart CPF-HJDGSVD and IF-HJDGSVD algorithms with some deflation and purgation techniques are developed to compute more than one GSVD components. Numerical experiments confirm the superiority of CPF-HJDGSVD and IF-HJDGSVD to the standard extraction based JDGSVD algorithm.

Full work available at URL: https://arxiv.org/abs/2201.02903

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zbMATH Keywords

generalized singular value decompositionharmonic extractiongeneralized singular valuegeneralized singular vectorJacobi-Davidson type methodstandard extraction

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)

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Cited In (4)

• The Joint Bidiagonalization Method for Large GSVD Computations in Finite Precision
• Randomized GCUR decompositions
• A Jacobi-Davidson type method for the generalized singular value problem
• A cross-product free Jacobi-Davidson type method for computing a partial generalized singular value decomposition of a large matrix pair

Uses Software

• LSQR
• JDQR
• PRIMME
• SparseMatrix
• UTV
• JDQZ
• PHSVDS
• PRIMME_SVDS
• CRAIG

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