Stable computation of the CS decomposition: Simultaneous bidiagonalization

DOI10.1137/100813002MaRDI QIDQ2903107zbMATH OpenOpenAlexFDO

Authors Brian D. Sutton

Publication date 23 August 2012

Published in SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/100813002

zbMATH Keywords

bidiagonalizationcanonical correlationsCS decompositiongeneralized singular value decompositionnumerical stabilityprincipal anglesunitary matrix

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Factorization of matrices (15A23) Orthogonal matrices (15B10) Numerical solutions to overdetermined systems, pseudoinverses (65F20) Orthogonalization in numerical linear algebra (65F25)

Review text

The CS-decomposition (CSD) simultaneously diagonalizes the blocks of a unitary matrix in a 2-by-2 block structure. There are quite a few applications of the CSD, e.g. principal angles in higher dimensional Euclidean geometry, perturbations of linear subspaces, canonical correlations in multivariate statistics, existence and computation of the generalized singular value decomposition (GSVD). In an earlier paper, the author had developed a new algorithm to calculate numerically the CSD. Here, its numerical stability is proved. In addition, a modification of this algorithm is given, which is numerically equivalent, but its analysis is more illuminating (according to the author).

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Cited in

(10)

• Computing the complete CS decomposition
• A new stable bidiagonal reduction algorithm
• A CS decomposition for orthogonal matrices with application to eigenvalue computation
• Divide and conquer the CS decomposition
• Simultaneous multidiagonalization for the CS decomposition
• A backward stable algorithm for computing the CS decomposition via the polar decomposition
• An algebraic quantum circuit compression algorithm for Hamiltonian simulation
• Characterizing GSVD by singular value expansion of linear operators and its computation
• A contour integral-based algorithm for computing generalized singular values
• Computing the CS and the generalized singular value decompositions

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