Accurate eigenvalue decomposition of real symmetric arrowhead matrices and applications

作者：Stor Nevena Jakovcevic^*; Slapnicar Ivan; Barlow Jesse L

来源：Linear Algebra and Its Applications, 2015, 464: 62-89.

DOI：10.1016/j.laa.2013.10.007

• Eigenvalue decomposition
• Arrowhead matrix
• High relative accuracy
• Singular value decomposition

We present a new algorithm for solving the eigenvalue problem for an n x n real symmetric arrowhead matrix. The algorithm computes all eigenvalues and all components of the corresponding eigenvectors with high relative accuracy in O(n(2)) operations under certain circumstances. The algorithm is based on a shift-and-invert approach. Only a single element of the inverse of the shifted matrix eventually needs to be computed with double the working precision. Each eigenvalue and the corresponding eigenvector can be computed separately, which makes the algorithm adaptable for parallel computing. Our results extend to Hermitian arrowhead matrices, real symmetric diagonal-plus-rank-one matrices and singular value decomposition of real triangular arrowhead matrices.

• 出版日期2015-1-1