ECS130 Scientific Computing Handout E February 13, 2017

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1 ECS130 Scientific Computing Handout E February 13, The Power Method (a) Pseudocode: Power Iteration Given an initial vector u 0, t i+1 = Au i u i+1 = t i+1 / t i+1 2 (approximate eigenvector) θ i+1 = u H i+1 Au i+1 (approximate eigenvalue) (b) Practical stopping criterion: θ i+1 θ i tol θ i. (c) Example: Let A = and λ(a) = {10,4,3}. Let u 0 = (1,0,0) T, then i θ i (d) Convergence analysis: Assume A = XΛX 1 with Λ = diag(λ 1,λ 2,...,λ n ) and λ 1 > λ 2... λ n. Then, we can show that u i = Ai u 0 A i u 0 x 1/ x 1, where x 1 = Xe 1 as i. θ i λ 1 as i. (e) The convergence rate depends on λ 2 λ 1. Therefore, if λ 2 λ 1 is close to 1, then the power method could be very slow convergent or doesn t converge at all. 1

2 2. Inverse Iteration (a) Purposes: Overcome the drawbacks of the power method (slow convergence) find an eigenvalue closest to a particular given number (called shift): σ (b) Observation: if λ is an eigenvalue of A, then λ σ is an eigenvalue of A σi, 1 λ σ is an eigenvalue of (A σi) 1. 1/(\lambda-\sigma) \sigma (c) Pseudocode Inverse Iteration Given an initial vector u 0 and a shift σ solve (A σi)t i+1 = u i for t i+1 u i+1 = t i+1 / t i+1 2 (approximate eigenvector) θ i+1 = u H i+1 Au i+1 (approximate eigenvalue) (d) Convergence analysis: Assume A = XΛX 1 with Λ = diag(λ 1,λ 2,...,λ n ) and λ k is the eigenvalue cloest to the shift σ. It can be shown that u i x k / x k as i, where x k = Xe k θ i converges to λ k i. Convergence rate depends on max j k λ k σ λ j σ. (e) Advantages: the ability to converge to any desired eigenvalue(the one nearest to the shift σ). By choosing σ very close to a desired eigenvalue, the method converges very quickly and thus not be as limited by the proximity of nearby eigenvalues as is the original power method. The method is particularly effective when we have a good approximation to an eigenvalue and want only its corresponding eigenvector. (f) Drawbacks: (a) expensive in general: solving (A σi)t i+1 = u i for u i+1. One LU factorization of A σi is required, which could be very expensive for large matrices, (b) Only compute one eigenpair. 2

3 3. Orthogonal iteration (subspace iteration, simultaneous iteration) (a) Purpose: compute a p-dimensional invaraint subspace, p > 1, rather than one eigenvector at a time. (b) Pseudocode: Orthogonal Iteration Given an initial n p orthogonal matrix Z 0 Y i+1 = AZ i Y i+1 = Z i+1 R i+1 (QR decomposition) The use of QR decomposition keeps the vectors spanning span{a i Z 0 } of full rank. (c) Convergence: under mild conditions, Z i converges to the invariant subspace spanned by the first p eigenvectors corresponding to the p dominant eigenvalues, where If we let B i = Z T i AZ i, then λ 1 λ 2 λ p > λ p+1 λ n. AZ i Z i B i 0 as i and eigenvalues of B i approximate the dominant eigenvalues of A. Convergence rate depends on λ p+1 / λ p. (d) Example: Let Z 0 = [e 1,e 2,e 3 ] and A = Eigenvalues of A = i, , i, i = 10: Eigenvalues of Z _10*A*Z_10: i, i = 30: Eigenvalues of Z _30*A*Z_30: i, i = 70: Eigenvalues of Z _70*A*Z_70: i, (e) An important special case: Let p = n and Z 0 = I, then A i = Z T i AZ i converges to the Schur form of A provided that (1) all eigenvalues of A have distinct absolute values and (2) all the principal submatrices of S have full rank, where we assume A = SΛS 1. (f) Example: the same test matrix, numerical results of orthogonal iteration with Z 0 = I: 3

4 A_10 = A_30 = A_70 = As we see A k is converging to a quasi-upper triangular matrix as k increasing. 4

5 4. QR iteration (a) Our goal is to reorganize orthogonal iteration to incorporate shifting and inverting as in the inverse iteration. This will make it more efficient and eliminate the assumption that eigenvalues differ in magnitude. (b) Pseudocode QR Iteration, without shift A 0 = A A i = Q i R i (QR decomposition) A i+1 = R i Q i (c) Properties Observe that A i+1 = R i Q i = Q T i Q i R i Q i = Q T i A i Q i A i+1 isorthogonallysimilartoa 0 = A. ThereforeA i+1 andahavesameeigenvalues: A i+1 = (Q 0 Q 1 Q i 1 Q i ) T A(Q 0 Q 1 Q i 1 Q i ). Note that Q 0 Q i 1 Q i is an orthogonal matrix since all Q j are. A i computed by QR iteration is identical to the matrix Z T i AZ i implicitly computed by orthogonal iteration. In fact, we have Proposition. Let A i be the matrix computed by QR iteration. Then A i = Z T i AZ i, where Z i is the matrix computed from orthogonal iteration starting with Z 0 = I. Therefore, A i converges to Schur form if all the eigenvalues have different absolute values. (d) Example. The same test matrix, numerical results of QR iteration A_10 = A_30 =

6 A_70 = Note that the results are identical to the orthogonal iteration. 6

7 5. QR iteration with shifts QR Algorithm (a) Purpose: accelerate the convergence of QR iteration by using shifts (b) Pseudo-code QR Iteration with Shifts A 0 = A Choose a shift σ i A i σ i I = Q i R i (QR decomposition) A i+1 = R i Q i +σ i I (c) Property: A i and A i+1 are orthogonally similar: A i+1 = Q T i A i Q i. Therefore, A i+1 and A are orthogonally similar, and A i+1 and A have the same eigenvalues. (d) How to choose the shifts σ i? If σ i is an exact eigenvalue of A, then it can be shown that [ ] A a A i+1 = R i Q i +σ i I =. 0 σ i This means that the algorithm converges in one iteration. If more eigenvalues are wanted, we can apply the algorithm again to the n 1 by n 1 matrix A. In practice, a common choice of the σ i is σ i = A i (n,n). A motivation of this choice is by observing that the convergence of the QR iteration (without a shift), the (n,n) entry of A i usually converges to an eigenvalue of A first. (e) Example. The same test matrix as before. The following is the numerical result of QR iteration with a shift. With the shift σ 0 as an exact eigenvalue σ 0 = , then A_1 =

8 With the shifts σ i = A i (n,n). A_7 = We observe that by 7th iteration, we have found an eigenvalue of A. (f) Note that the QR decomposition in the algorithm takes O(n 3 ) flops. Even if the algorithm took n iterations to converge, the overall cost of the algorithm will be O(n 4 ). This is too expensive (today, the complexity of algorithms for all standard matrix computation problems is at O(n 3 ).) However, if the matrix is initially reduced to upper Hessenberg form, then the QR decomposition of a Hessenberg form costs O(n 2 ) flops. As a result, the overall cost of the algorithm is reduced to O(n 3 ). This is referred to as the Hessenberg QR algorithm, the method of choice for dense eigenvalue problem today, say Matlab s eigensolver eig use LAPACK s implementation of the QR algorithm. (g) QR algorithm is one of the top 10 algorithms in the 20th century. 8