Stable and Efficient Spectral Divide and Conquer Algorithms for the Symmetric Eigenvalue Decomposition and the SVD

Nakatsukasa, Yuji and Higham, Nicholas J. (2013) Stable and Efficient Spectral Divide and Conquer Algorithms for the Symmetric Eigenvalue Decomposition and the SVD. SIAM J. Sci. Comput., 35 (3). A1325-A1349. ISSN 1095-7197

This is the latest version of this item.

[img] PDF
120876605.pdf

Download (337kB)
Official URL: http://epubs.siam.org/doi/abs/10.1137/120876605

Abstract

Spectral divide and conquer algorithms solve the eigenvalue problem for all the eigenvalues and eigenvectors by recursively computing an invariant subspace for a subset of the spectrum and using it to decouple the problem into two smaller subproblems. A number of such algorithms have been developed over the last forty years, often motivated by parallel computing and, most recently, with the aim of achieving minimal communication costs. However, none of the existing algorithms has been proved to be backward stable, and they all have a signicantly higher arithmetic cost than the standard algorithms currently used. We present new spectral divide and conquer algorithms for the symmetric eigenvalue problem and the singular value decomposition that are backward stable, achieve lower bounds on communication costs recently derived by Ballard, Demmel, Holtz, and Schwartz, and have operation counts within a small constant factor of those for the standard algorithms. The new algorithms are built on the polar decomposition and exploit the recently developed QR-based dynamically weighted Halley algorithm of Nakatsukasa, Bai, and Gygi, which computes the polar decomposition using a cubically convergent iteration based on the building blocks of QR factorization and matrix multiplication. The algorithms have great potential for ecient, numerically stable computations in situations where the cost of communication dominates the cost of arithmetic.

Item Type: Article
Uncontrolled Keywords: symmetric eigenvalue problem, singular value decomposition, SVD, polar decomposition, QR factorization, spectral divide and conquer, dynamically weighted Halley iteration, subspace iteration, numerical stability, backward error analysis, communication-minimizing algorithms
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: Yuji Nakatsukasa
Date Deposited: 09 Aug 2013
Last Modified: 20 Oct 2017 14:13
URI: http://eprints.maths.manchester.ac.uk/id/eprint/1946

Available Versions of this Item

Actions (login required)

View Item View Item