Journal of Shanghai University ( Fmglish Edition), 2004, 8(4): 369-377

Article ID: 1007-6417(2004)04-0369-09

QL M e t h o d for S y m m e t r i c Tridiagonal M a t r i c e s
JIANG Er-xiong( !5 ,~, ~ ) Department of Mathematics, College of Sciences, Shanghai University, Shanghai 200436, P. R. China
Abstract QL(QR) method is an efficient method to find eigenvalues of a matrix. Especially we use QL(QR) method to find eigenvalues of a symmetric tridiagonal matrix. In this case it only costs O( n z) flops, to find all eigenvalues. So it is one of the most efficient method for symmetric tridiagonal matrices. Many experts have researched it. Even the method is mature, it still has many problems need to be researched. We put forward five problems here. They are: (1) Convergence and convergence rate; (2) The convergence of diagonal elements; (3) Shift designed to produce the eigenvalues in monotone order; (4) QL algorithm with multi-shift; (5) Error bound. We intoduce our works on these problems, some of them were published and some are new.
Key words

MSC 2000

matrix eigenvalue problem, symmetric tridiagonal matrix, QL(QR) algorithm, shift, error bound. 65F15 lower triangular matrix. It is easy to know that all Tk are similar with T . By above process the problem to find the eigenvalues of T = To is replaced by the problem to find the eigenvalues of Tk. It is so called QL method with shift I ak [ Denote a~ k) ~k)

1 Introduction
QL or QR method is an efficient method to find the eigenvalues of a matrix. Especially for the case of s y m m e t r i c tridiagonal matrices. It is currently the fastest practical method to find all the eigenvalues of a s y m m e t r i c tridiagonal matrix, only taking O ( n z ) flops. So m a n y e x p e r t s have researched QL ( Q R ) method. I will introduce some problems here.

a( k)
** "** *,
,o 1

Tk =

2 Convergence and Convergence Rate

Let

al

fll a2 ~2 o,
"'-

0 .o
'. ~-1
a.

Pick what kind s t r a t e g y of shift { ak t , it guarantee fl~k)--~0, for all unreduced s y m m e t r i c tridiagional matrices T ? This means global convergence. T h e global convergence is a problem for QL method. T h e simple shift s t r a t e g y is to pick ok = a~ k) , which called Rayleigh Quotient shift. It can not guarantee fl~k)-~0, for all unreduced s y m m e t r i c tridiagional matrices. In 1968 J. H. Wilkinson first gave a proof, so called Wilkinson shift, which has global convergence [tJ Let two eigenvalues of the top 2 x 2 submatrix of T k ,

fll
T =

&-1

be an n x n unreduced s y m m e t r i c tridiagonal matrix. L e t To = T , and {ok } is a sequence of shift. From Tk - a d = QkLk,

Tk +1 : LkQk + a d ,
it produces a sequence of s y m m e t r i c tridiagonal matrix {Tk}, where Qk is an orthogonal matrix and Lk is a Received Dec. 1,2003 Project supported by the National Natural Science Foundation of China (Grant No. 19771020) JIANG Er-xiong, Prof., E-maihejiang(~fudan. edu. cn

a? ) P k)) : T(k) a? ) --1.2

be A~k) ,,,2:(k) , if we pick the one near a~ k) as shift ak, then this shift is called Wilkinson shift. For simplicity, we denote a~ k) ,fl~k) as ai ,fli and a~ k+l) ,fl!k+ 1) as a/,/~i- The Wilkinson shift can be shown as

370

Journal of Shanghai University

%
a = a l - sign(~)181 + ~ , (1)
Tp.q =

fp
fp+ l "'. "'.

o
, P < q.

where 3 = (a2 - a 1 ) / 2 . The proof of global convergence in Ref. [ 1] is complicate. In 1978, W. Hoffman and B. N. Parlett gave a new proof [z] . It is a nice proof. Except global convergence there is another problem needed to consider. That is convergence rate. If/31 = 0 ( / ~ ) , then we say the convergence rate is degree p. In Ref. [ 1 ], Wilkinson showed that the convergence rate is at least quadratic for QL algorithm with Wilkinson shift for symmetric tridiagonal matrices. He guessed it should be cubic. But until now this guess never be proved. In 1987 my student Yu Chonghua in his Ph. D. thesis [3] , and in 1989 my student Zhang Guodong in Ref. [ 4 ], proved the follows. Theorem 2 . 1 Let T = To be n x n unreduced symmetric tridiagonal matrix, whose eigenvalues are 2 1 < Az < "'" < A,~. Use QL method with Wilkinson shift strategy to To, then fV-"0. If al---~At o r al-~An or a~--'Ai and Ai - Ai-l=/=Ai+x - ,~i then the convergence rate at least is cubic. Under the condition of above theorem, they both proved that f2--'0 by different method. Use a2--"Ai z , an another eigenvalue of T , then to know I a2 - a l c o n s t > 0. A problem is produced. Could we find a shift strategy which makes QL method global convergence and has cubic convergence rate? The answer is positive. In Ref. [ 5 ], we put forward a new shift strategy which called RW shift. In this case t 0t1 -- sign(3) ql if f~>/2 x

"'.

"'. fq- 1

fq-1 Ctq

Lemma

2.2

Let d, = det(T,.,~ - a I ) ,

k2t = d2t + ( Hit - l dt *1) 2 + ( f t - l f t d t +2) 2 + "'" + (Hit - 1f t ' " fl,~ - 1 ) , then 2 2
kl) 2 (4)

From above Lemma we may understand the difficulty of Wilkinson's guess. It is easy to know that
dl= [ ( ( / 1 - o*)(~t2 - o') -

~l]d 3 - (al - a)~d4.

(5)

When we pick Wilkinson shift, then

(~1- ~)(~2- ~)- fi =0,

dl= _ (ai_ a)t~zd,_ t3~1t~2d4 0t2--(7

So
+ (6)

Because fll-~0, d ~ a > 0 , hence the convergence rate of Wilkinson shift is at least cubic, if and only if there is a positive number c such that (az - a ) ~ c for any k. Other words, there is no subsequence of {a2
-

a l tending zero. Lemma 2.3 For any shift a ,

l~(flf12)2

"I" ( a I

--

0")2~2 -I- A 2 2

(7)

1(~]+ ~/~2 +

Proof
if

By the first and second equations of ( 2 ) ,

Under this shift strategy, QL algorithm will have global convergence and have cubic convergence rate. For the detail we give some lemmas as follows. L e m m a 2.1 For any shift a , we have
( T - aI)ql =/1.1el,

we can get the result. L e m m a 2.4 For any shift a , fll =/1,1ql.z,
fl1[~2 = l l . l f l q2.3.
Proof

(8) (9)

From (10)

(2) (3)

e2( ~I" - M ) e x = q T ( T - M ) q l ,

~21 = /~,l(q2Z,1 + q~,l + "'" + qz~,l),

where T - aI = Q L , 7" = L Q + a , Q = ( q i o ) , is a orthogonal matrix and L = ( l i , j ) is a lower triangular matrix, ql is the first column of Q. Let Tp,q be the submatrix of T

e~( 7"- alI)( T - aI)el

= q~(T-

alI)(T-aI)ql

(11)

can easily be proved. Use above Lemmas, we can prove the following

Vol. 8 No. 4 Dec.2004

JIANG E X: QL Method for Symmetric Tridiagonai Matrices We have fll = O ( ~ ) . The Theorem pletely. Use above Lemmas 2 . 3 and 2 . 4 , prove the global convergence of QL Wilkinson shift. Firstly, from Lemma
A2A 2

371 is proved comwe can easily algorithm with (2.4) we have

theorem. Theorem 2.2 When the RW shift is used in the QL algorithm, then f~k)-~0 as k --~oo , and the convergence rate at least is cubic. Proof Suppose f z > 0 , f 2 > 0 , it does not lose generality. First we have 2 1 /i,l~mln(]~l , l ~ f l f l 2 ) . When ~ 2 ~ , a = a l , from Eq. (7) (12)

By Lamina 2.3, when a is Wilkinson shift A = 0

l~.l@flP2.
So,
-22

l~,,~~f~fz.

(13)

So Eq. (12) holds. When f~ < 2 ~ , a is Wilkinson shift. In Eq. ( 7 ) A=0and [al- 0*I~fl, la2- a[~fl. So from Eq. (7)
~1,1"~. 2~ + f 2 2 ~ 2 - P l p 2 ~ l "
_< 2 2
o

This means ~f2--~0. Furthermore the first equation of (2) is

(~1 - 0.)q1.1 + flq2,i = 11,1,

and
((/1 - o") 2 + ~ ) ( q 2 1 , ~ + q ~ , l ) ~ l ~ , l

(14)

Eq. (12) holds too. Now consider sequence t ~ f z } . From Lemma 2 . 4 , we have
)1~2~/1,1fl "2" 2 ,

Because for Wilkinson shift

so by Eq. (14)
/2 1 ~ 2 ~ . Now use Lemma2.4, (15)

f, f2~ll.,fl.

So
That means the sequence I/~If2} is covergent to zero. Furthermore

)~<~l z~.~l ~ = I h . l l z ~ . ~ / ~ ,
That means fl--~0.

-~f~f~ = ~ f , .

3 Convergence of Diagonal Elements

When flv-~0, the diagonal element a, approaches an eigenvalue. Is it convergent? Although by perturbation theorem, we know for any k, there is an eigenvalue A~(k)of T, such that

It means fv-~0. If f~2~,0. = a , , d ~ = O ( ~ ) ,

because fv--~O,d[

> c o n s t > 0 , so )~ = O ( ~ ) . If f l ~ < 2 ~ ,

dl = - ( a l - a ) ~ d 4 , dl
Because in this case, when fit is very small, then f12 is also very small. So a2 approaches another eigenvalue of T, and
] az
-

But it needs to prove that when I f~k) I is small enough such 2i(~) is independent of k. It has important meaning in the theory. In the above result of Yu and Zhang they all use the result
a 1--~A{.

0.1 > c o n s t > O .

Reference [ 6 ] gave a theorem on the diagonal elements convergence as follows.

372 Let T = T (1) be an irreducible tridiagonal matrix. The QL algorithm with shift {O'k} is applied to T (1). If a~ k) - ak---~O and fl!k)--~O,{ = 1 , 2 , "" , j , then a~--~2s ,s = 1 , 2 , - - - , j , where ~ 1 , 2 2 , " " ,2j are j different eigenvalues of T . In Ref. [7] T h e o r e m 8 . 1 1 . 1 says as follows. Theorem 3 . 2 Let the QL algorithm with Wilkinson shift be applied to an unreduced tridiagonal matrix T. T h e n , as k -~oo , i l l - ' 0 . If, in addition, f12-~0, f13--" 0, and a ~ - ~ 2 ~ [ T ] , i = 1 , 2 , 3 , then as k -+oo, 191/~221 ~ 1 / 1 2 2 - 21131 .a.3 - al I 0 . By Theorem 3 . 1 , in above theorem we n e e d n ' t assume the statement ai--" A~[ T ] , i = 1 , 2 , 3 , which is implied in the statement f12--~0, f i z z 0 . In Ref. [ 3 ] , Yu laid condition ak--~ e , any number instead of condition a[ k) - ak--~0. It can fit such Newton shift case.
Theorem 3.1

Journal of Shanghai University

eigenvalues in monotone order. O'k+ 1 ----Gk 8k+l

-- ( f ( a k ) + f(8k+l))/f'(ak), ( ak).

(18) (19)

: (7k -- f ( a k ) / f f

We call it as M-Newton shift (Modified Newton shift). Theorem 4 . 2 Let T = To be n x n unreduced symmetric tridiagonal matrix, whose eigenvalues are 2 1 < 22 < "'" < A,. Use QL method with M-Newton shift strategy to T 0 , a 0 < 2 1 , then fll-~0 and al--~;tl, the convergence rate is cubic. Proof Let n be even, so any A E ( - c o , A 1 ) , we have f ( 2 ) > O , f f ( ; t ) < O , f f ( A ) > O ,
f ( a o ) + f ' ( a o ) ( B l - a0) = 0, f ( a o ) + f f (ao)(21 - a0) < 0 ,
SO

etc. From

a0<31<21. From Eq. ( 1 8 ) , we have f(81) + ff(ao)(alSO o 1 > 8 1 . By f(81) + f'(81)(21we get f ' ( 8 1 ) ( 2 1 - 81) - f ' ( a o ) ( a l For f ' ( a o ) < f ' ( 8 1 ) ,
so - 81)<0.

Shift Designed to Produce the Eigenvalues in Monotone Order

81) = 0 ,

We introduce some shift strategies in above discussions such as Rayleigh Quotient shift, Wilkinson shift and RW shift. These shifts have a shortage that when a l - ~ 2 q , 2q often is not the smallest eigenvalue of T . In practice people often want to get several the smallest eigenvalues of a given matrix. So we need a shift strategy which makes 21--~21, the smallest eigenvalue of T . Then we may have a2---~22, a3---~23 etc. Early in 1968 C. Reinsch and F. L. Bauer put forward the Newton shift which produces the eigenvalues in monotone order E83. What is called Newton shift as follows: a0<A1, ak+l = ak - f ( a k ) / f ' ( ak) , (16) (17)

81)<0,

f ' ( o ' 0 ) (21 - 81 ) - f ' ( a o ) ( a l and 21 - a l > 0 . Hence we get

81)<0,

G 0 < 8 1 < a 1 < 21This implies ak<A1 and ak--~21. In Ref. [ 3 ] , there is a theorem as follows. Lemma 4 . 1 Let T = To be n n unreduced symmetric tridiagonal matrix, whose eigenvalues are 21 < 22 < " " < An. Use QL method with any shift strategy a k to T O. I f ak ~ 2i I , and the convergence rate is p , then fll--~0 and al--~Ai , the convergence rate is also p. Use this Lemma the conclusions/3~--~0 and a~--~A1 are obvious. Furthermore by Newton method we know 121- 31t~cl,~xa012,

where f ( A ) = d e t ( A I - T ) = d e t ( M - T k ) . How to compute f ( a~ ) and .f" ( ak ) is an important thing. T h e y also designed a clever algorithm for it in Ref. [ 8 ] . But in their paper there is no proof of monotonic convergence. In Ref. [ 3 ] the following theorem is given. Theorem 4 . 1 Let T = To be n x n unreduced symmetric tridiagonal matrix, whose eigenvalues are 2 1 < 2 2 < "'" < 2,,. Use QL method with Newton sifift strategy to T o , a o < A 1 , then flx-~O and al--~A1, the convergence rate is quadratic. Here we give another shift strategy to produce

21 - 21 = 3I - ~ti - f ( 8 1 ) / f ' ( a o )

= If'(a0)(31- 21)-f'(A1)(8121) + f ' ( 2 1 )(31 - 21) - f ( d l ) } / f ' ( a o ) .

Voi. 8

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QL Method for Symmetric Tridiagonal Matrices

373

Together with
ff(~l)
[A1 -

Lk = Lk + (p- 1)/pLk (v-2)/p"" Lk, then we have T k . , = ~,TTQk, and ( Tk - a(kl))(r~, - a(ff))'"( r k - a(kp) ) = (~ff-~.

(23)

= f ' ( 3 1 ) + ff(31 + 0 ( ~ 1 - 3 1 ) ) ( , ~ 1 - 3 1 ) ,

al I = O ( [ ,l I - a0 [3) can be easily gotten, so the conclusion is proved that the convergence rate is cubic. How do we compute M-Newton shift? Because f ( / t ) = det(AI - T ) , any [ fli [ is n o t so small. So we can use Hyman algorithm f9'I] to compute f ( a k ) , f" (ak) and f ( 3 k ) . Consider linear algebra equations system (MT)x = a(;t)el, (20)

(24)

(25)

where a (/t ) is a scalar which makes x ( n ), the last element of x , to equal 1. By Cramer rule x ( n ) = a(A )flzfla'"& - z/det( AI - T ) ,
SO

Denote the n - t h column of Qk as q~k) which can get from the n - t h column of the left side of Eq. ( 2 5 ) . Then from Eq. (24), we can obtain ~k-1. Such from the n - t h column of the left side of Eq. (25) to compute Tk 1 is called implicity shift process. Even Tk is a real Hessenberg matrix, it is also true. When p = 2, the left side of Eq. (25) is T~ - (a(k1) + a(k2) ) Tk

_(1)_(2)1r - ~'~ ~'k " -

(26)

If o'(k , a (2) are conjugate complex quantity, (26) is 2) real still. Let a(k1) = a + bi, a~2) = a - bi. Omit the index k , the last column of Eq. (26) is a real vector
(O,O,'",O,fln-2fln-1

a(A ) = f(,~ ) / ( f l l & ' " f l n -1 ). From the last equation to the second equation of Eq. (20), we can be very easy to solve x. Then from the first equation to get a ( A ) . Differentiating system (20) with respect to ~t, we get
( M - T ) x " = a'(,~ ) e l + X.
(21)

,fln-l(an-1

+ an - - 2 a ) , f l 2 n - 1

a~ -2aa,~ + a 2 + b2) T. From it we can compute q~k) and Tk. 1 in real operations. Such method is good for finding the eigenvalues of a real matrix. G. W. Stewart said it is one of the most clever algorithm in the numerical analysis. But until now there is no convergence proof for it, even in the case when matrix is normal. This is an open problem. When T is a symmetric tridiagonal matrix, a convergence proof for QL method with multi-shift is given in Ref. [113. Under generalized Rayleigh Quotient Theorem 5 . 1 shift strategy, let n>~2p + 1. For I Tk } produced by the p-shift QL procedure then we have: ( 1 ) [fllfl2""flp ] is a monotone nonincreasing sequence.

By same reason, we can easily find x ' . Then from the first equation of (21), we get a'(A ). So that we can easily compute f ( a k ) , f f (ak) and f ( 3k ).

5 QL Algorithm with Multi-shift

Let T = To is an unreduced symmetric tridiagonal matrix. If I Tk I is produced as follows: Tk - aT)I = QiJ.,k, T~ +1/p = LkQk + a<kl)I, Tk + 1/p - a(k2)1 = Qk + 1/pLk + 1 / p '
T k + 2/p ~- L k + 1/pQk + 1/p + a(k2)1 ,
, , , , . ,

Tj,.1 = L k , v - i ) / p Q k ( p - 1 ) / p + a~P)I. then we say the QL algorithm with p-shift {a~1) , a~2) , " " , a(kp) I. When p = 2 we call it double-shift. How to pick l a(k1) , a(k , ' " , a~p) } is also a problem. Here we 2) consider them as the eigenvalues of the p x p leading principal submatrix T~.v of Te. Such p-shift is called Generalized Rayleigh Quotient shift strategy. Let
~ = QkQk + 1/pQ~ +2/p"" Q~ + (v- 1)/p,

(2) 1~1~2.-.~p1-~0 or I~p.l/~p,"-~2pl-~0.

If I fllfl2""flp [ - ~ 0 then I flp+lflp+2""~2p I "--~0, [ qpl.1[-'-~1, and [ q l , p + l [ - - ~ l .

6 Error Bound
We perform QL algorithm with satisfied shift strategy to T and get a sequence of symmetric tridiagonal matrix Tk, ( k = 1 , " - , ) which is similar to T.

(22)

374

Journal of Shanghai University

T~I,,, respetively, and pi,, pi 2 , "",/~/j E a ( T I . j ) ,

p% , " ' , p ~ n E a ( T j + l . , , ) ,
Tk =
. **.

where i l , " ' , i n

is a per-

mutation of 1 , 2 , - - ' , n . We suppose that

"'.
~ (k._)1 = [ Xl,J
k j "~j+l,n

it< i2< ""<

ij,ij+t <

ij.2(

" " ~ in.

~t? )

We only need to compute the error between Ai, and

~i, for l = 1,2,'-- , j , because the situation is similar if

we choose some similar permutation matrix for l =

When k is large enough, we often have some j , [fl}k) [ to be small. This time we select the eigenvalues of T~,k~and - i + t.n as approximated eigenvalues of T(a) , T. Obviously the following questions will be asked:If /1 is an eigenvalue of ,r(k) which eigenvalue of T --L, will ~ be approximated to? How much differnce is between them? Let

j+l,...,n.
In history, many experts have considered such problem. In Ref. [ 7 , 9 , 12 - 17] there are some results about the error bounds. The simplest estimation is

],~i-- /Xil~lflj[
It comes from Weyl Theorem [ 17 ]. It is useful that [ fl~ [ is very small, but it is far too crude in most applications. The result in Ref. [12] is

a2

f12 "*'fin- 1

~n-1
On

I,~i, - I~i, I ~ ~ , l = 1,2,-'- , / ,

where
Uil :

(27)

It is an unreduced symmetric tridiagonal matrix, and

/~Eo(Tj+ l,n)

min

I I~i, -/11.

Otp+l
Tp,q =

~+1

There is ~ in this estimation, so it will be more accurate. But we need to know the gap a~, for using the
Uq

estimation. There are two drawbacks of this estimation. First if /~i~E a ( T~ 1,,~ ), then oi, = 0. The results of (27) will fail. Second, there is an important fact that the outer eigenvalues of ~r approximate eigenvalues of T more accurately. The above estimation can not fit this fact. If we know more infomations about eigenvectors of T~.j, then we have being another result that for #i,, any eigenvalue of TI.j we can find an eigenvalue ,l of T , such that

then T
=

TI.j
T~+I,,~] "

Let

/~1 ~ 2 " " ~ n

denote the eigenvalues of T. Let ~.= [ T L j 0 and 0 ]

or

I <l j

sj l,

(28)

T+l,n '

]A -- ~i, ] ~ ( f l j * 8 j l ) 2 / a l '
where at = min~i~a J Ai - pi~ 1.

(29)

are its eigenvalues. We consider the problem is to estimate the error between A~ and / ~ , i = 1 , 2 , - . . , n . Let a ( T ~ , j ) , a ( T j + l , n ) are the set of the eigenvalues of T I , j ,

The above results drived from Residual Theorem and Rayleigh Quotient Approximate Theorem ( s e e Ref. [ 9 ] ) . It can fit the fact that the outer eigenvalues approximate more accurately, that the above esti-

Vol. 8

No. 4

Dec. 2004

JIANG E X:

QL Method for Symmetric Tridiagonal Matrices

375

mation includes term s~. In above estimations,

the e r r o r

bound is for

fx(a)=l--~J
Corollary I then
~

--VinJ q=J+r+1,~-,uiq "

if Pk is not an eigenvalue of T j +1.,~,

mina-e~(T) [ A" -/~i, ] and not for ~i, -/~i,. So it cannot show that two different eigenvalues p i , p i of T I j correspond to different eigenvalues of T, i.e.,
q

the following case may happen:

<Ak - ~ k <

fl~

(31)

I~-~i I~1~* 8~,1,

and
p

Moreover, the inequality in the right is " ~ 0 " , if r = O, and the left is " ~ 0 " , if j + r + 1 > n . Proof Because A" - P i j . , > / ~ k - t~r > 0 ' and

T h e gap = a~ in the above second estimation depends on Xi which is an eigenvalue of original matrix T . Usually it is not easy to know. Here we give results ~ls] to update the results in Ref. [12] and a two-side bounds of hi, - ~i, are given even when ai, = 0. Our results also avoid these drawbacks just said. Let/~i,,"', ~ are the eigenvalues of TI,j and the

'
0<~

1-.JSj.p. n=l A

2 a*-pk

/" ~l,q~. -- ~.ipq=j+l A

J~," .2 a * - V i ~ . r ~ ,
-- ~iq

"~J''

p=l

" A

-- ~ . i p q = j + r + l

"

~.l,q

s 1 , " ' , sj are the corresponding eigenvectors. Similarly, ~i~+~, " " , ~ i are the eigenvalues of Tj+I,,~ and si~ ~, " " , sn are the corresponding eigenvectors. Because T I j , T~+ 1,, are unreduced symmetric tridiagonal matrix, s ~ . i 0 , i = 1 , 2 , "-- , j , Sl.~=~0, k = j + 1, j + 2, .--, n , where s~.i is the k-th elements of si, see Ref. [ 14 ]. Considering any eigenvalues ~i, ( i~ = k ) of T ~ j , we estimate X~ - ~ . Because {~< i 2 < "'" < ii_ 1< i~ = k , there exist r = k - l numbers to be smaller than k in i 1 + l , ' " , i n and i j + ~ < " - < i j + ~ < k <i~+~+1. If l = k , i . e . , r=k-1 = 0 , then there is no one smaller than k in ij +1 , ' " , in. Theorem 6, 1 Let all be stated as above, Pk is an eigenvalue of T I j then
sL -

So (31) is proved. The cases when r = 0, and j + r + 1 > n ,

have

been described before. Remark 1 The e s t i m a t e ( 3 1 ) has two progresses comparing to the result(27). (1) " ~ " i n (27) is changed by " < ". ( 2 ) p~ ~~ - ~k in the left side, and Pk - ~ + , in the right side is instead of ak = min (pk - P i j . , P~ ,., - Pk) in ( 2 7 ) . If we know p i , s~, n, P = 1 , 2 , - ' " , j and know mj,, / ~ . ~+, then we have following theorem. Theorem 6 . 2 ues of Tj + 1.... (1) If
85,p

Suppose that ~k is not the eigenval-

<1,

I l k -- [lij+

P = l ~ l k -- ~ip

then

.
--

~=Sj.p~.

~," s 2

~linq=J+l

1 , q ~ * -- ~liq

'~'-/~.r
,

--

2~

(30)
where X ~ ~ ( ~ , + co ) is the largest root of the function. where

(32)

O~gl = Z slq..
~:~-/~

(q=.~+~A-/~q

'

q=j+l

-- P i

<1;
el

and a ~ * ~ ( - co, p~) is the smallest root of the function.

(2) If

376 sj,~
P~..,.+l - - F k p = l * l p i p
-- F k

Journal of Shanghai University

<1,
'~'k - - ~ k ~

~,

(1-

then Ak
-- ~ k ~

Similarly when ~rS $a2

- - ~ ' t L . , + 1 - - sttk

1] / L + , . 1 - - FZi

~.
(33) we have

Sj., <I.

p = ~+ : / - t i p - - / t k

'

where
/1~ + . . , - ~ k ~ F ~ + .+, - F k

2 * * -/.ti~.,+t

<1 . p= 1 pi

0 4 g 2 =_ = i _~ S~q ~, * o +r+
Proof Let

_tzi
q

ej.p - pk p e21 may be a v e r y small number, so the

Remark 2
6.1

J~r 2q~'**- ~L gl =q=J+18 A -- ~i ~"

when
I-I

estimate of this result will be fine in generally.

Examples

Example 1.
2 S),~

<1, T=

1 1

1 2

1
** ", . *

we have

~ 82 p *

tZkg 1

19 1

20

is a 20 x 20 matrix. Let
_ %.g, + _

%. ,=,a*

11<12<"'<A2o denote the eigenvalues of T . We want to find all e i g e n v a h e s of T , by multi-shift QL algorithm. Let To = T , first we use the 4 eigenvalues of the leading 4 x 4 principal submatrix of Tk as shifts. M t e r 3 steps, we get T3. The//(3) = _ 0. 00028639069345 of

So
2 l-1 2 -1

Since 0 ~ g l < 1, Ak4,1 * ,~* > P k > p ~ .

, hence

Ta and the leading 4 x 4 principal submatrix is

T(3)
14 =

0. 253 805 817 115 49 - 0 . 000 005 380 367 30 0 0

- 0 . 0 0 0 005 380 367 30 1.789 321 3 5 2 6 4 8 10 0 . 0 0 0 000 000 124 79 0

0. 000 000 000 124 79 2. 961 058 880 693 56 0. 000 000 003 696 55

0 0. 000 000 003 696 55 " 3. 996 048 079 049 43

T h e eigenvalues of T~ ) are: 0. 253 805 817 096 64, 1. 789 321 352 666 95, 2. 961 058 880 693 56, 3. 996 048 079 049 43. M t e r deleting T ~ ) and fl(43) from Ta, we get a submatrix Ts.20. Then we compute all eigenvalues of Ts,2o by QL algorithm continuously. When we know the smallest eigenvalue of T5.20 which is 4.9977431981485, we can estimate the e r r o r bounds of above 4 eigenvalues. Because all eigenvalues of

T(3) are less than 4. 9977431981485, so the 4 eigen14 values of ,7-(3) are P i , i = 1, 2, 3, 4 and ps = --14 4.9977431981485. By Eq. (27) we have 0 4 0 . 25380581709664 - g 14 ( ~ ) z 4 1.73 x 10 - s, Ps - Pl

0 4 1 . 78932135266695 - A 2 ~ ( ~ ) 2 ~ 2 . 5 6 x 10 -8, Fs - F2
0 4 2 . 96105888069356 - A 3 4 (~4)2 ~ 4 . 0 3 x 10 -s,
F 5 -- P3

Vol. 8

No. 4

Dec. 2004

JIANG E X:

QL Method for Symmetric Tridiagonal Matrices

377

0~3.99604807904943-A4~

(~)z ~8.19x /~s - / z 4

10 - s . [9 ]

Above e s t i m a t e s are not so accurate. T h e e s t i m a t e for /~1 is almost same as the e s t i m a t e f o r / ~ 4 . In fact the a c c u r a c y of/Zl is b e t t e r than that of/~4. If we calculate s 4 1 , s 4 2 , s 4 3 and s44, the last e l e m e n t s of the unit e i g e n v e c t o r s of matrix ~,(3) , then by Eq. ( 3 3 ) we -~4 have m o r e a c c u r a t e estimates. T h e y a r e : 0 ~ / ~ 1 - A 1 ~ 4 . 426 x 1 0 - s s , 0 ~ / ~ 2 - ; t 2 ~ 8 . 136 x 10 -46 , 0~/~a2 a ~ l . 518 X 10 -za, X 10 -8. [ 14.] [ 15] [13] [11] [10]

[ 12]

0~/~4- A 4 ~ 8 . 1 9

References [ 1 ] Wilkinson J H. Global convergence of tridiagonal QR algorithm with origin shifts [ J ]. Linear Algeba and Its Applications, 1968,1 : 409 - 420. [ 2 ] Hoffman W, Parlett B N. A new proof of global convergence for the tridiagonal QL algorithm [ J ] . Soc. Ind. Appl. Math. J. Num. Anal., 1978, 15: 929-937. [ 3 ] Yu Chonghua. On QL Algorithm for Symmetric Matrices [D]. Doctoral Dissertation, Fudan University, 1987. [ 4 ] Zhang Guodong. On the convergence rate of the QL algorithm with Wilkinson's shift[J ]. Linear Algeba and Its Applications, 1989,113: 131 - 137. [ 5 ] Jiang Erxiong, Zhang Zhenyue. A new shift of the QL algorithm for irreducible symmetric tridiagonal matrices [ J ]. Linear Algeba and Its Applications, 1985, 65: 261 - 272. [ 6 ] Jiang Erxiong. On convergence of diagonal elements and asymptotic convergence rates for the shifted tridiagonal QL algorithm [ J ]. Journal of Computational Mathematics, 1985, 3(3) : 252 - 261. [ 7 ] Parlett B N. The Symmetric Eigenvalue Problem [ M ]. SIAM, 1998. i 8 ] Reinsch C, Bauer F L. Rational QR transformation with

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Newton shift for symmetric tridiagonal matrices[J]. Numerische Mathematik, 1968, U : 264 - 272. Parlett B N. The Symmetric Eigenvalue Problem [ M ]. Prentice-Hall Inc., Englewood Cliffs, 1980. Wilkinson J H. The Algebraic Eigenvahie Problem[M]. Clarendon Press, Oxford, 1965. Jiang Erxiong. A note on the double-shift QL algorithm [J ]. Linear Algeba and Its Applications, 1992, 171 : 121 - 132. Hager W W. Perturbations in eigenvalues [ J ]. Linear Algebra and Its Applications, 1982,42: 3 9 - 55. Jiang Erxiong. Art estimate of the difference between a diagonal element and the corresponding eigenvalue of a symmetric tridiagonal matrix[J ]. Journal of Computational Mathematics, 1987, 5(2): 144-155. JiangErxiong. Symmetric Matrix Computation[M].Shanghai Science and Technique Press,1984 (in Chinese). Kahan W. When to neglect off-diagonal elements of symmetric tridiagonal matrices [ R ]. Computer Science Department, Stanford University, Report CS42, July 1966. Liu Xinguo. On the deflation with computing eigenvalues of matrix[J]. Journal of Computational Mathematics, 1997,19(4) : 345 - 352 (in Chinese). Pa/geCC. Eigenvaluesofperturbedhermitianmatrices[J]. Linear Algebra and Its Applications, 1974, 8: 1 - 10. Jiang Erxiong. Perturbation in eigenvalues of a symmetric tridiagonal matrix, prepare to submit. JiangErxiong, ZhangZhenyue. A new shift of the QL algofithm for irreducible symmetric tridiagonal matrices [J ]. Linear Algeba and Its Applications, 1985, 65: 261 - 272. Jiang Erxiong, Xue Feng, Qu Yangyun. An estimate of eigenvalues in the symmetric QR algorithm[J]. Numerical Mathematies-A Journal of Chinese Universities, 1999,8(1): 101- 112. Weyl H. The laws of asymptotic distribution of the eigenvalues of linear partial differential equation [ J ]. Math. A n n . , 1912,71:441 - 479. ( Executive editor CHE~ Ai-ping)