Sensitivity analysis of the Lanczos reduction

DOI10.1002/(SICI)1099-1506(199901/02)6:1%3C29::AID-NLA144%3E3.0.CO;2-IMaRDI QIDQ2760338zbMATH OpenOpenAlexFDO

Authors Christopher C. Paige, Paul van Dooren

Publication date 19 December 2001

Published in Numerical Linear Algebra with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/(sici)1099-1506(199901/02)6:1%3C29::aid-nla144%3E3.0.co;2-i

zbMATH Keywords

biorthogonalizationKrylov subspace methodLanczos reductionperturbations analysissensitivity analysistridiagonilazation

Mathematics Subject Classification ID

Iterative numerical methods for linear systems (65F10) Orthogonalization in numerical linear algebra (65F25) Numerical computation of matrix norms, conditioning, scaling (65F35)

Review text

The authors investigate for a given real \(n \times n \) matrix \(A\) and initial vectors \(V\) and \(W\) the sensitivity of the tridiagonal matrix \(T\), where \( T= W^T A V \), as well as the biorthogonal sets of vectors of the Lanczos reduction to small changes in \(A\), \(V\) and \(W\). They show why the choice of normalization is important for sensitivity results by discussing some optimal properties of normalizations. Further a quick summary of the unsymmetric Lanczos algorithm as background for the sensitivity analysis is given. The inverses of two matrices which are critical to the sensitivity are derived, as well as bounds for the general case including the well known Krylov subspaces and condition numbers for the symmetric case. NEWLINENEWLINENEWLINEAt the end of the paper a brief summarization and relation to other similar works by \textit{B. N. Parlet} and \textit{J. Le} [SIAM J. Matrix Anal. Appl. 14, No. 1, 279-316 (1993; Zbl 0767.65031)] and \textit{J.-F. Carpraux, S. K. Godunov} and \textit{S. V. Kuznetsov} [Linear Algebra Appl. 248, 137-160 (1996; Zbl 0861.65042)] is presented.

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Cites work

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• scientific article; zbMATH DE number 3408799 (Why is no real title available?)
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Cited in

(5)

• Condition numbers for Lanczos bidiagonalization with complete reorthogonalization
• On the sensitivity of Lanczos recursions to the spectrum
• Structure in loss of orthogonality
• On sensitivity of Gauss-Christoffel quadrature
• Krylov solvability under perturbations of abstract inverse linear problems

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