A Hoffmann-Wielandt-type residual bound for generalized eigenvalues of a definite pair

DOI10.1016/J.CAM.2012.07.017MaRDI QIDQ455844zbMATH OpenOpenAlexFDO

Authors Xiao Shan Chen

Publication date 22 October 2012

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2012.07.017

zbMATH Keywords

Crawford numbereigenspaceFrobenius normgeneralized eigenvaluesHermitian matricesnumerical exampleRayleigh quotient matrix pairresidual boundsingular values

Mathematics Subject Classification ID

Numerical computation of eigenvalues and eigenvectors of matrices (65F15)

Review text

For pairs of Hermitian matrices \(A\) and \(B\) of order \(n\) with a positive Crawford number the difference between the generalized eigenvalues of the matrix pairs \(\{ A,B\}\) and \(\{H_1 ,K_1\}\) with \(H_1 = {\widetilde X}^H_1 A {\widetilde X}_1\) and \(K_1 = {\widetilde X}_1^H B {\widetilde X}_1\) is estimated. A given bound is NEWLINE\[NEWLINE\sigma_1^2({\widetilde X}_1) \| (A,B) \|_2 (\sigma_l({\widetilde X}_1))^{-3} [c(A,B)]^{-2} \| (A{\widetilde X}_1 - {\widetilde W}_1H_1, B{\widetilde X}_1 - {\widetilde W}_1K_1) \|_F,NEWLINE\]NEWLINE where the matrix \({\widetilde X}_1\) is a complex \((n \times l)\) matrix with rank \(l\), \({\widetilde W}_1 = (A{\widetilde X}_1H_1 + B {\widetilde X}_1K_1)(H_1^2+K_1^2)^{-1}\), \(\sigma_1({\widetilde X}_1)\) and \(\sigma_l({\widetilde X}_1)\) denote the largest and smallest singular values of \({\widetilde X}_1\), \(\| \cdot \|_2\) and \(\| \cdot \|_F\) denote the Euclidian and the Frobenius norm, \(c(A,B)\) is the Crawford number of the pair \(\{A,B\}\). Additionally, a residual bound of an approximate eigenspace of \(\{A,B\}\) is given which is an improvement of a corresponding result presented by \textit{J.~G.~Sun} [J. Comput. Math. 9, No.~3, 247--255 (1991; Zbl 0739.15009)]. The given bounds are demonstrated by a numerical example.

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Cited in

(5)

• Residual error bounds of generalized eigenvalue systems
• On residual bounds for eigenvalues
• Generalized eigenvalues of a definite Hermitian matrix pair
• scientific article; zbMATH DE number 4016038 (Why is no real title available?)
• scientific article; zbMATH DE number 22694 (Why is no real title available?)

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