Solving Singular Generalized Eigenvalue Problems by a Rank-Completing Perturbation
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Eigenvalues, singular values, and eigenvectors (15A18) Canonical forms, reductions, classification (15A21) Matrix pencils (15A22) Perturbation theory of linear operators (47A55) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Ill-posedness and regularization problems in numerical linear algebra (65F22)
Abstract: Generalized eigenvalue problems involving a singular pencil are very challenging to solve, both with respect to accuracy and efficiency. The existing package Guptri is very elegant but may sometimes be time-demanding, even for small and medium-sized matrices. We propose a simple method to compute the eigenvalues of singular pencils, based on one perturbation of the original problem of a certain specific rank. For many problems, the method is both fast and robust. This approach may be seen as a welcome alternative to staircase methods.
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