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research article

Singular quadratic eigenvalue problems: linearization and weak condition numbers

Kressner, Daniel  
•
Sain Glibic, Ivana  
March 1, 2023
Bit Numerical Mathematics

The numerical solution of singular eigenvalue problems is complicated by the fact that small perturbations of the coefficients may have an arbitrarily bad effect on eigenvalue accuracy. However, it has been known for a long time that such perturbations are exceptional and standard eigenvalue solvers, such as the QZ algorithm, tend to yield good accuracy despite the inevitable presence of roundoff error. Recently, Lotz and Noferini quantified this phenomenon by introducing the concept of 8-weak eigenvalue condition numbers. In this work, we consider singular quadratic eigenvalue problems and two popular linearizations. Our results show that a correctly chosen linearization increases 8-weak eigenvalue condition numbers only marginally, justifying the use of these linearizations in numerical solvers also in the singular case. We propose a very simple but often effective algorithm for computing well-conditioned eigenvalues of a singular quadratic eigenvalue problems by adding small random perturbations to the coefficients. We prove that the eigenvalue condition number is, with high probability, a reliable criterion for detecting and excluding spurious eigenvalues created from the singular part.

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Type
research article
DOI
10.1007/s10543-023-00960-4
Web of Science ID

WOS:000934928700001

Author(s)
Kressner, Daniel  
•
Sain Glibic, Ivana  
Date Issued

2023-03-01

Publisher

SPRINGER

Published in
Bit Numerical Mathematics
Volume

63

Issue

1

Start page

18

Subjects

Computer Science, Software Engineering

•

Mathematics, Applied

•

Computer Science

•

Mathematics

•

singular eigenvalue problems

•

polynomial eigenvalue problem

•

linearization

•

weak condition number

•

generalized schur decomposition

•

spectral perturbation-theory

•

kroneckers canonical form

•

arbitrary pencil-a

•

matrix polynomials

•

robust software

•

error-bounds

•

lambda-b

•

eigenstructure

Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
ANCHP  
Available on Infoscience
March 27, 2023
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/196447
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