The joint bidiagonalization process with partial reorthogonalization

DOI10.1007/S11075-020-01064-8MaRDI QIDQ820739zbMATH OpenOpenAlexFDO

Authors Zhongxiao Jia, Haibo Li

Publication date 27 September 2021

Published in Numerical Algorithms (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2001.04402

zbMATH Keywords

generalized SVDjoint bidiagonalizationLanczos bidiagonalizationorthogonality levelpartial reorthogonalizationsemiorthogonalization

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Orthogonalization in numerical linear algebra (65F25)

Abstract: The joint bidiagonalization(JBD) process is a useful algorithm for the computation of the generalized singular value decomposition(GSVD) of a matrix pair. However, it always suffers from rounding errors, which causes the Lanczos vectors to loss their mutual orthogonality. In order to maintain some level of orthongonality, we present a semiorthogonalization strategy. Our rounding error analysis shows that the JBD process with the semiorthogonalization strategy can ensure that the convergence of the computed quantities is not affected by rounding errors and the final accuracy is high enough. Based on the semiorthogonalization strategy, we develop the joint bidiagonalization process with partial reorthogonalization(JBDPRO). In the JBDPRO algorithm, reorthogonalizations occur only when necessary, which saves a big amount of reorthogonalization work compared with the full reorthogonalization strategy. Numerical experiments illustrate our theory and algorithm.

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Cited in

(9)

• 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
• The Joint Bidiagonalization Method for Large GSVD Computations in Finite Precision
• Thick-restarted joint Lanczos bidiagonalization for the GSVD
• The Joint Bidiagonalization of a Matrix Pair with Inaccurate Inner Iterations
• Backward error analysis of the Lanczos bidiagonalization with reorthogonalization
• A CJ-FEAST GSVDsolver for computing a partial gsvd of a large matrix pair with the generalized singular values in a given interval
• Structure-preserving joint Lanczos bidiagonalization with thick-restart for the partial quaternion GSVD
• Characterizing GSVD by singular value expansion of linear operators and its computation

Describes a project that uses

Uses Software

• LSQR
• SparseMatrix
• mctoolbox
• CRAIG
• PROPACK
• UTV

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