Cross product-free matrix pencils for computing generalized singular values
Abstract
It is well known that the generalized (or quotient) singular values of a matrix pair 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 , which may affect the accuracy of the computed quotient singular values if has a large condition number. A similar statement holds for the restricted singular values of a matrix triplet and the additional cross product . 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}
}