Generalized Davidson and multidirectional-type methods for the generalized singular value decomposition

arXiv1705.06120MaRDI QIDQ6286784FDOQ6286784

Publication date: 17 May 2017

Abstract: We propose new iterative methods for computing nontrivial extremal generalized singular values and vectors. The first method is a generalized Davidson-type algorithm and the second method employs a multidirectional subspace expansion technique. Essential to the latter is a fast truncation step designed to remove a low quality search direction and to ensure moderate growth of the search space. Both methods rely on thick restarts and may be combined with two different deflation approaches. We argue that the methods have monotonic and (asymptotic) linear convergence, derive and discuss locally optimal expansion vectors, and explain why the fast truncation step ideally removes search directions orthogonal to the desired generalized singular vector. Furthermore, we identify the relation between our generalized Davidson-type algorithm and the Jacobi--Davidson algorithm for the generalized singular value decomposition. Finally, we generalize several known convergence results for the Hermitian eigenvalue problem to the Hermitian positive definite generalized eigenvalue problem. Numerical experiments indicate that both methods are competitive.

Mathematics Subject Classification ID

Computational methods for sparse matrices (65F50) Eigenvalues, singular values, and eigenvectors (15A18) Factorization of matrices (15A23) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Ill-posedness and regularization problems in numerical linear algebra (65F22) Inverse problems in linear algebra (15A29)

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