The nearest definite pair for the Hermitian generalized eigenvalue problem

Cheng, Sheung Hun and Higham, Nicholas J. (1999) The nearest definite pair for the Hermitian generalized eigenvalue problem. Linear Algebra and its Applications, 302-30. pp. 63-76. ISSN 0024-3795

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Abstract

The generalized eigenvalue problem $Ax = \lambda Bx$ has special properties when $(A,B)$ is a Hermitian and definite pair. Given a general Hermitian pair $(A,B)$ it is of interest to find the nearest definite pair having a specified Crawford number $\delta > 0$. We solve the problem in terms of the inner numerical radius associated with the field of values of $A+iB$. We show that once the problem has been solved it is trivial to rotate the perturbed pair $(A+\dA,B+\dB)$ to a pair $(\widetilde{A},\widetilde{B})$ for which $\lambda_{\min}(\widetilde{B})$ achieves its maximum value $\delta$, which is a numerically desirable property when solving the eigenvalue problem by methods that convert to a standard eigenvalue problem by ``inverting $B$''. Numerical examples are given to illustrate the analysis.

Item Type: Article
Uncontrolled Keywords: Nearest definite pair; Crawford number; Hermitian pair; Generalized eigenvalue problem; Field of values; Inner numerical radius; Numerical radius
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: Ms Lucy van Russelt
Date Deposited: 07 Jul 2006
Last Modified: 20 Oct 2017 14:12
URI: http://eprints.maths.manchester.ac.uk/id/eprint/358

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