English

Cross product-free matrix pencils for computing generalized singular values

Numerical Analysis 2019-12-19 v1 Numerical Analysis

Abstract

It is well known that the generalized (or quotient) singular values of a matrix pair (A,C)(A, C) can be obtained from the generalized eigenvalues of a matrix pencil consisting of two augmented matrices. The downside of this reformulation is that one of the augmented matrices requires a cross products of the form CCC^*C, which may affect the accuracy of the computed quotient singular values if CC has a large condition number. A similar statement holds for the restricted singular values of a matrix triplet (A,B,C)(A, B, C) and the additional cross product BBBB^*. This article shows that we can reformulate the quotient and restricted singular value problems as generalized eigenvalue problems without having to use any cross product or any other matrix-matrix product. Numerical experiments show that there indeed exist situations in which the new reformulation leads to more accurate results than the well-known reformulation.

Keywords

Cite

@article{arxiv.1912.08518,
  title  = {Cross product-free matrix pencils for computing generalized singular values},
  author = {Ian N. Zwaan},
  journal= {arXiv preprint arXiv:1912.08518},
  year   = {2019}
}
R2 v1 2026-06-23T12:49:32.790Z