Grammont, Laurence and Higham, Nicholas J. and Tisseur, Françoise (2011) A Framework for Analyzing Nonlinear Eigenproblems and Parametrized Linear Systems. Linear Algebra and its Applications, 435 (3). pp. 623640. ISSN 00243795
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Abstract
Associated with an $n\times n$ matrix polynomial of degree $\ell$, $P(\lambda) = \sum_{j=0}^\ell \lambda^j A_j$, are the eigenvalue problem $P(\lambda)x = 0$ and the linear system problem $P(\omega)x = b$, where in the latter case $x$ is to be computed for many values of the parameter $\omega$. Both problems can be solved by conversion to an equivalent problem $L(\lambda)z = 0$ or $L(\omega)z = c$ that is linear in the parameter $\lambda$ or $\omega$. This linearization process has received much attention in recent years for the eigenvalue problem, but it is less well understood for the linear system problem. We develop a framework in which more general versions of both problems can be analyzed, based on onesided factorizations connecting a general nonlinear matrix function $N(\lambda)$ to a simpler function $M(\lambda)$, typically a polynomial of degree 1 or 2. Our analysis relates the solutions of the original and lower degree problems and in the linear system case indicates how to choose the righthand side $c$ and recover the solution $x$ from $z$. For the eigenvalue problem this framework includes many special cases studied in the literature, including the vector spaces of pencils $\mathbb{L}_1(P)$ and $\mathbb{L}_2(P)$ recently introduced by Mackey, Mackey, Mehl, and Mehrmann and a class of rational problems. We use the framework to investigate the conditioning and stability of the parametrized linear system $P(\omega)x = b$ and thereby study the effect of scaling, both of the original polynomial and of the pencil $L$. Our results identify situations in which scaling can potentially greatly improve the conditioning and stability and our numerical results show that dramatic improvements can be achieved in practice.
Item Type:  Article 

Uncontrolled Keywords:  nonlinear eigenvalue problem, polynomial eigenvalue problem, rational eigenvalue problem, linearization, quadratization, parametrized linear system, backward error, scaling, companion form, CICADA 
Subjects:  MSC 2010, the AMS's Mathematics Subject Classification > 15 Linear and multilinear algebra; matrix theory MSC 2010, the AMS's Mathematics Subject Classification > 65 Numerical analysis 
Depositing User:  Nick Higham 
Date Deposited:  06 May 2011 
Last Modified:  20 Oct 2017 14:12 
URI:  http://eprints.maths.manchester.ac.uk/id/eprint/1378 
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A Framework for Analyzing Nonlinear Eigenproblems
and Parametrized Linear Systems. (deposited 02 Oct 2009)
 A Framework for Analyzing Nonlinear Eigenproblems and Parametrized Linear Systems. (deposited 06 May 2011) [Currently Displayed]
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