Lecture 13 Summary

The key to making most of the eigensolver algorithms efficient is reducing A to Hessenberg form: A=QHQ* where H is upper triangular plus one nonzero value below each diagonal. Unlike Schur form, Hessenberg factorization can be done exactly in a finite number [Θ(m3)] of steps (in exact arithmetic). H and A are similar: they have the same eigenvalues, and the eigenvector are related by Q. And once we reduce to Hessenberg form, all the subsequent operations we might want to do (determinants, LU or QR factorization, etcetera), will be fast. In the case of Hermitian A, showed that H is tridiagonal; in this case, most subsequent operations (even LU and QR factorization) will be Θ(m) (you will show this in HW)!

For example we can actually evaluate det(A-λI)=det(H-λI) in O(m²) time for each value of λ, or O(m) time if A is Hermitian, making e.g. Newton's method on det(H-λI) much more practical. It will also accelerate lots of other methods to find eigenvalues.

Introduced basic idea of Hessenberg factorization by relating it to Householder QR, and in particular showed that Householder reflectors will do the job as long as we allow one nonzero element below the diagonal (see handout).

Discussed power method for biggest-|λ| eigenvector/eigenvalue, and (re-)introduced the Rayleigh quotient to estimate the eigenenvalue. Discussed the convergence rate, and how for Hermitian matrix the eigenvalue estimate has a much smaller error than the eigenvector (the error is squared) due to the fact that the eigenvalue is an extremum. Discussed inverse iteration, shifted inverse iteration, and Rayleigh quotient iteration, and their respective convergence rates.