A cross-product free Jacobi-Davidson type method for computing a partial generalized singular value decomposition (GSVD) of a large matrix pair
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Publication:6339641
DOI10.1007/S10915-022-02053-WarXiv2004.13975MaRDI QIDQ6339641FDOQ6339641
Authors: Zhongxiao Jia 
Publication date: 29 April 2020
Abstract: A Cross-Product Free (CPF) Jacobi-Davidson (JD) type method is proposed to compute a partial generalized singular value decomposition (GSVD) of a large regular matrix pair . It implicitly solves the mathematically equivalent generalized eigenvalue problem of but does not explicitly form the cross-product matrices and thus avoids the possible accuracy loss of the computed generalized singular values and generalized singular vectors. The method is an inner-outer iteration method, where the expansion of the right searching subspace forms the inner iterations that approximately solve the correction equations involved and the outer iterations extract approximate GSVD components with respect to the subspaces. Some convergence results are established for the inner and outer iterations, based on some of which practical stopping criteria are designed for the inner iterations. A thick-restart CPF-JDGSVD algorithm with deflation is developed to compute several GSVD components. Numerical experiments illustrate the efficiency of the algorithm.
Eigenvalues, singular values, and eigenvectors (15A18) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Iterative numerical methods for linear systems (65F10) Conditioning of matrices (15A12)
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