Reorthogonalization for the Golub-Kahan-Lanczos bidiagonal reduction

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Abstract

The Golub-Kahan-Lanczos (GKL) bidiagonal reduction generates, by recurrence, the matrix factorization of X ∈ ℝm×n, m≥n, given by X = UBVT where U ∈ ℝm×n is left orthogonal, V ∈ ℝm×n is orthogonal, and B ∈ ℝm×n is bidiagonal. When the GKL recurrence is implemented in finite precision arithmetic, the columns of U and V tend to lose orthogonality, making a reorthogonalization strategy necessary to preserve convergence of the singular values. The use of an approach started by Simon and Zha (SIAM J Sci Stat Comput, 21:2257-2274, 2000) that reorthogonalizes only one of the two left orthogonal matrices U and V is shown to be very effective by the results presented here. Supposing that V is the matrix reorthogonalized, the reorthogonalized GKL algorithm proposed here is modeled as the Householder Q-R factorization of, where Vk = V(:,1:k). That model is used to show that if εM is the machine unit and, where tril(·) is the strictly lower triangular part of the contents, then: (1) the GKL recurrence produces Krylov spaces generated by a nearby matrix X + δX, {double pipe}δ X{double pipe}F = O (εM + n̄) {double pipe}X{double pipe}F; (2) singular values converge in the Lanczos process at the rate expected from the GKL algorithm in exact arithmetic on a nearby matrix; (3) a new proposed algorithm for recovering leading left singular vectors produces better bounds on loss of orthogonality and residual errors.

Original languageEnglish (US)
Pages (from-to)237-278
Number of pages42
JournalNumerische Mathematik
Volume124
Issue number2
DOIs
StatePublished - May 1 2013

All Science Journal Classification (ASJC) codes

  • Computational Mathematics
  • Applied Mathematics

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