Differential qd algorithm with shifts for rank-structured matrices

Although QR iterations dominate in eigenvalue computations, there are several important cases when alternative LR-type algorithms may be preferable. In particular, in the symmetric tridiagonal case where differential qd algorithm with shifts (dqds) proposed by Fernando and Parlett enjoys often faster convergence while preserving high relative accuracy (that is not guaranteed in QR algorithm). In eigenvalue computations for rank-structured matrices QR algorithm is also a popular choice since, in the symmetric case, the rank structure is preserved. In the unsymmetric case, however, QR algorithm destroys the rank structure and, hence, LR-type algorithms come to play once again. In the current paper we discover several variants of qd algorithms for quasiseparable matrices. Remarkably, one of them, when applied to Hessenberg matrices becomes a direct generalization of dqds algorithm for tridiagonal matrices. Therefore, it can be applied to such important matrices as companion and confederate, and provides an alternative algorithm for finding roots of a polynomial represented in the basis of orthogonal polynomials. Results of preliminary numerical experiments are presented

A Hamiltonian Krylov-Schur-type method based on the symplectic Lanczos process

We discuss a Krylov-Schur like restarting technique applied within the symplectic Lanczos algorithm for the Hamiltonian eigenvalue problem. This allows to easily implement a purging and locking strategy in order to improve the convergence properties of the symplectic Lanczos algorithm. The Krylov-Schur-like restarting is based on the SR algorithm. Some ingredients of the latter need to be adapted to the structure of the symplectic Lanczos recursion. We demonstrate the efficiency of the new method for several Hamiltonian eigenproblems

Minimizing Communication in Linear Algebra

In 1981 Hong and Kung proved a lower bound on the amount of communication needed to perform dense, matrix-multiplication using the conventional $O(n^3)$ algorithm, where the input matrices were too large to fit in the small, fast memory. In 2004 Irony, Toledo and Tiskin gave a new proof of this result and extended it to the parallel case. In both cases the lower bound may be expressed as $\Omega$(#arithmetic operations / $\sqrt{M}$), where M is the size of the fast memory (or local memory in the parallel case). Here we generalize these results to a much wider variety of algorithms, including LU factorization, Cholesky factorization, $LDL^T$ factorization, QR factorization, algorithms for eigenvalues and singular values, i.e., essentially all direct methods of linear algebra. The proof works for dense or sparse matrices, and for sequential or parallel algorithms. In addition to lower bounds on the amount of data moved (bandwidth) we get lower bounds on the number of messages required to move it (latency). We illustrate how to extend our lower bound technique to compositions of linear algebra operations (like computing powers of a matrix), to decide whether it is enough to call a sequence of simpler optimal algorithms (like matrix multiplication) to minimize communication, or if we can do better. We give examples of both. We also show how to extend our lower bounds to certain graph theoretic problems. We point out recently designed algorithms for dense LU, Cholesky, QR, eigenvalue and the SVD problems that attain these lower bounds; implementations of LU and QR show large speedups over conventional linear algebra algorithms in standard libraries like LAPACK and ScaLAPACK. Many open problems remain.Comment: 27 pages, 2 table

Computing the Kalman form

We present two algorithms for the computation of the Kalman form of a linear control system. The first one is based on the technique developed by Keller-Gehrig for the computation of the characteristic polynomial. The cost is a logarithmic number of matrix multiplications. To our knowledge, this improves the best previously known algebraic complexity by an order of magnitude. Then we also present a cubic algorithm proven to more efficient in practice.Comment: 10 page

Computing a partial Schur factorization of nonlinear eigenvalue problems using the infinite Arnoldi method

The partial Schur factorization can be used to represent several eigenpairs of a matrix in a numerically robust way. Different adaptions of the Arnoldi method are often used to compute partial Schur factorizations. We propose here a technique to compute a partial Schur factorization of a nonlinear eigenvalue problem (NEP). The technique is inspired by the algorithm in [8], now called the infinite Arnoldi method. The infinite Arnoldi method is a method designed for NEPs, and can be interpreted as Arnoldi's method applied to a linear infinite-dimensional operator, whose reciprocal eigenvalues are the solutions to the NEP. As a first result we show that the invariant pairs of the operator are equivalent to invariant pairs of the NEP. We characterize the structure of the invariant pairs of the operator and show how one can carry out a modification of the infinite Arnoldi method by respecting the structure. This also allows us to naturally add the feature known as locking. We nest this algorithm with an outer iteration, where the infinite Arnoldi method for a particular type of structured functions is appropriately restarted. The restarting exploits the structure and is inspired by the well-known implicitly restarted Arnoldi method for standard eigenvalue problems. The final algorithm is applied to examples from a benchmark collection, showing that both processing time and memory consumption can be considerably reduced with the restarting technique

An atlas for tridiagonal isospectral manifolds

Let ${\cal T}_\Lambda$ be the compact manifold of real symmetric tridiagonal matrices conjugate to a given diagonal matrix $\Lambda$ with simple spectrum. We introduce {\it bidiagonal coordinates}, charts defined on open dense domains forming an explicit atlas for ${\cal T}_\Lambda$. In contrast to the standard inverse variables, consisting of eigenvalues and norming constants, every matrix in ${\cal T}_\Lambda$ now lies in the interior of some chart domain. We provide examples of the convenience of these new coordinates for the study of asymptotics of isospectral dynamics, both for continuous and discrete time.Comment: Fixed typos; 16 pages, 3 figure