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  • Hessenberg/Tridiagonal Reduction: MIT 18.335J / 6.337J Introduction To Numerical Methods

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    This document discusses the Hessenberg/tridiagonal reduction of matrices. [1] It describes using Householder reflections to introduce zeros and transform a matrix A into an upper Hessenberg matrix H through a series of similarity transformations. [2] For Hermitian matrices, the process produces a tridiagonal matrix T. [3] The algorithm runs in O(n^3) operations and is backward stable, meaning small perturbations in A result in small perturbations in H.

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    This document discusses the Hessenberg/tridiagonal reduction of matrices. [1] It describes using Householder reflections to introduce zeros and transform a matrix A into an upper Hessenberg matrix H through a series of similarity transformations. [2] For Hermitian matrices, the process produces a tridiagonal matrix T. [3] The algorithm runs in O(n^3) operations and is backward stable, meaning small perturbations in A result in small perturbations in H.

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    9 views7 pages

    Hessenberg/Tridiagonal Reduction: MIT 18.335J / 6.337J Introduction To Numerical Methods

    Uploaded by

    DevendraReddyPoreddy
    This document discusses the Hessenberg/tridiagonal reduction of matrices. [1] It describes using Householder reflections to introduce zeros and transform a matrix A into an upper Hessenberg matrix H through a series of similarity transformations. [2] For Hermitian matrices, the process produces a tridiagonal matrix T. [3] The algorithm runs in O(n^3) operations and is backward stable, meaning small perturbations in A result in small perturbations in H.

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    of 7

    Lecture 14

    Hessenberg/Tridiagonal Reduction

    MIT 18.335J / 6.337J

    Introduction to Numerical Methods

    Per-Olof Persson

    October 26, 2006

    Introducing Zeros by Similarity Transformations

    • Try computing the Schur factorization A = QT Q∗ by applying


    Householder reflectors from left and right that introduce zeros:





    × × × × ×
    ×××××××
    ××

    × ×××××
    ××××

    ×
     × × × × ×  Q∗  0 ×
    ××××
    ×××
    Q 
    1

    ×
    ××××
    ××××

    ×
     × × × × ×
     1  0 ××××× ×
    ××
    ×××××
    ×× ×
    ××

    × × × × ×
    −→
    × −→
    ×





    0×××××
    ××
    ××××
    ××××

    ×
    × × × × × 0×××××
    ××× ×
    ××××
    ××××
    ×
    A Q∗1 A Q∗1 AQ1

    • The right multiplication destroys the zeros previously introduced


    • We already knew this would not work, because of Abel’s theorem
    • However, the subdiagonal entries typically decrease in magnitude

    The Hessenberg Form

    • Instead, try computing an upper Hessenberg matrix H similar to A:


     



    × × × × ×
    × × × × ×
    ××
    ××××
    ××

    ×
     × × × × ×  Q∗ × ×××××××××
    Q 
    1

    ××
    ××××
    ××

    ×
     × × × × ×
     1  0 × ×××× ×
    ××
    ×
    ×××× ×
    ××



    −→


    −→

    × × × × ×
    0×
    ××××××

    × ×
    ××××
    ××

    ×
    ××××× 0×
    ××××××× ×
    ××××
    ×××
    A Q∗1 A Q∗1 AQ1
    • This time the zeros we introduce are not destroyed
    • Continue in a similar way with column 2:
     



    × × × × ×
    × × × × ×
    × ××××××

    ×
     × × × × ×  Q∗  × × × × ×  Q1
     × × ×
    ××××

    ×
     × × × ×
     1  × ×××× ×
    ××
     ×× ×× ×
    ××

    × × × ×
    −→
    × −→






    0×××××
    ×
    ××××

    ×
    ×××× 0×××××× ×
    ××××

    ×
    Q∗1 AQ1 Q2∗ Q∗1 AQ1 Q2∗ Q∗1 AQ1 Q2

    3
    The Hessenberg Form

    • After m − 2 steps, we obtain the Hessenberg form:



    ×××××
     × × × × ×
    Q∗m−2 · · · Q∗2 Q∗1 A Q1 Q2 · · · Qm−2 = H =


    × × × ×

    |
    {z
    }
    |
    {z
    }
    × × ×

    Q∗ Q ××

    • For hermitian A, zeros are also introduced above diagonals







    × × × × ×
    × × × × ×
    ××
    × 0 0 0

     × × × × ×  Q∗ ××××××××××
    Q 
    1

    ××
    ××××××

    ×
     × × × × ×
     1  0 ×
    ×××× ×
    ××
    ×
    ×××× ×
    ××

    × × × × ×
    −→
    × −→






    0×××××××
    ×
    ××××××

    ×
    ××××× 0×××××××× ×
    ××××××

    ×
    A Q∗1 A Q∗1 AQ1
    producing a tridiagonal matrix T after m − 2 steps

    Householder Reduction to Hessenberg

    Algorithm: Householder Hessenberg

    for k = 1 to m − 2
    x = Ak+1:m,k
    vk = sign(x1 )�x�2 e1 + x
    vk = vk /�vk �2
    Ak+1:m,k:m = Ak+1:m,k:m − 2vk (vk∗ Ak+1:m,k:m )
    A1:m,k+1:m = A1:m,k+1:m − 2(A1:m,k+1:m vk )vk∗
    • Operation count (not twice Householder QR):
    m
    X
    4(m − k)2 + 4m(m − k) = 4m3 /3 +4m3 − 4m3 /2 = 10m3 /3
    | {z }
    k=1 QR

    • For hermitian A, operation count is twice QR divided by two = 4m3 /3

    Stability of Householder Hessenberg

    • The Householder Hessenberg reduction algorithm is backward stable:

    �δA�
    Q̃H̃Q̃ = A + δA,
    ∗
    = O(ǫmachine )
    �A�

    where Q̃ is an exactly unitary matrix based on ṽk

    MIT OpenCourseWare
    http://ocw.mit.edu

    18.335J / 6.337J Introduction to Numerical Methods


    Fall 2010

    For information about citing these materials or our Terms of Use, visit: http://ocw.mit.edu/terms.

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