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Stability of $Q^{\ast } H Q$.

The deflating orthogonal transformation construction shown in Algorithm 7.8 is clearly stable (i.e., componentwise relatively accurate representation of the transformation one would obtain in exact arithmetic). There is no question that the similarity transformation $Q^* H Q$ numerically preserves the eigenvalues of $H$. However, there is a serious question about how well these transformations perform numerically in preserving Hessenberg form during purging. A modification to the basic algorithm is needed to assure that if $y^*H = \theta y^*$, then $H_+ \equiv Q^* H Q$ is numerically Hessenberg (i.e., that the entries below the subdiagonal are all tiny relative to $\Vert H \Vert$).

The fact that $ H_+ = Q^* H Q$ is Hessenberg depends upon the term $g y^* H R $ vanishing in the expression

Q^* H Q = L^*HR + g y^*H R + \theta e_1 e_1^*.

However, on closer examination, we see that

e_1^* Q = e_1^* L + (e_1^* y) g^* = \eta_1 g^*,

where $\eta_1$ is the first component of $y$. Therefore, || g || = 1| _1 |,

so there may be numerical difficulty when the first component of $y$ is small. To be specific, $y^*H = \theta y^*$ and thus $ y^* H R = 0 $ in exact arithmetic. However, in finite precision, the computed $fl(y^* H) = \theta y^* + z^*$. The error $z$ will be on the order of $\epsilon_M$ relative to $\Vert H \Vert$, but

\Vert g y^*H R \Vert = \Vert g\Vert \cdot \Vert z^* R \Vert =
\frac{1}{\vert \eta_1 \vert} \Vert z^* R \Vert,

so this term may be quite large. It may be as large as order $O(1)$ if $\eta_1 = O(\epsilon_M)$. This is of serious concern and will occur in practice without the modification we now propose.

The remedy is to introduce a step-by-step acceptable perturbation and rescaling of the vector $y$ to simultaneously force the conditions

Q^* y = e_1 \ \ \mbox{and}
\ \ y^* H Q = \theta e_1^*

to hold with sufficient accuracy in finite precision. To accomplish this, we shall devise a scheme to achieve

y^* H q_j = 0 \ \ \mbox{for} \ \ j > 1

numerically. As shown in [420], this modification is sufficient to establish $ q_i^* H q_j = 0$ numerically, relative to $\Vert H \Vert$ for $ i > j + 1$.

The basic idea is as follows: If, at the $j$th step, the computed quantity $fl(y^* H q_j )$ is not sufficiently small, then it is adjusted to be small enough by scaling the vector $y_j$ with a number $\phi$ and the component $ \eta_{j+1}$ with a number $\psi$. With this rescaling just prior to the computation of $q_{j+1}$, we then have $y_j \leftarrow y_j \phi$ and $\hat{y}_j \leftarrow \hat{y}_j \psi$, where $y^* = [ y_j^* , \hat{y}_j^*]$. Certainly, $\Vert y \Vert $ should not be altered with this scaling and this is therefore required. This gives the following system of equations to determine $\phi$ and $\psi$: if $
\vert y_j^* H_j \hat{q}_j + \rho_j \beta_j \eta_{j+1} \vert >
\epsilon_M \tau_{j+1}$, (_j )^2 + (1 - _j^2)^2 &=& 1,
y_j^* H_j q_j + _j _j _j+1 &=& _M _j+1. If $\rho_j$ is on the order of $\sqrt{\epsilon_M}$, then the scaling may be absorbed into $\rho_j$ without alteration of $y$ and also without effecting the numerical orthogonality of $Q$. When $y$ is modified, it turns out that none of the previously computed $q_i$, $2 \le i < j$, need to be altered. After step $j$, the vector $y_j$ is simply rescaled in subsequent steps, and the formulas defining $q_i , \ \ 2 \le i \le j$, are invariant with respect to scaling of $y_j$. For complete detail, one should consult  [420].

The code shown in Algorithm 7.9 implements this scheme to compute an acceptable $Q$.[*]In practice, this transformation may be computed and applied in place to obtain $H := Q^* H Q$ and $V := VQ$ without storing $Q$. However, that implementation is quite subtle and the construction of $Q$ is obscured by the details required to avoid creating additional storage. This code departs slightly from the above description since the vector $y$ is rescaled to have unit norm only after all of the columns $2$ to $n$ have been determined.

{Stable Orthogonal Deflating Transformation for IRAM
...for} \\
{\rm (33)} \> $Q(:,1) = y/\Vert y \Vert $\end{tabbing}}

There are several implementation issues.

The perturbation shown here avoids problems with exact zero initial entries in the eigenvector $y$. In theory, this should not happen when $H$ is unreduced but it may happen numerically when a diagonal entry of $H$ is small but not zero. There is a cleaner implementation possible that does not modify zero entries. This is the simplest (and crudest) correction.

As soon as $\tau_j = \Vert y_j\Vert$ is sufficiently large, there is no need for any further corrections. Deleting this if-clause reverts to the unmodified calculation of $Q$ shown in Algorithm 7.8.

This shows one of several possibilities for modifying $y$ to achieve the desired goal of numerically tiny elements below the subdiagonal of $Q^* H Q$. More sophisticated strategies would absorb as much of the scaling as possible into the diagonal element $ Q(j,j) = \rho$. Here, the branch that does scale $\rho$ instead of $y$ is designed so that $\mbox{fl}(1 + (\rho \psi)^2) = \mbox{fl}(1 + \rho^2) = 1 $.

next up previous contents index
Next: Locking and Purging in Up: Orthogonal Deflating Transformation Previous: Purging .   Contents   Index
Susan Blackford 2000-11-20