Fast computation of Sep$_\lambda$ via interpolation-based globality certificates

Electronic Transactions on Numerical Analysis

article

Tim Mitchell¹ 

[1] Max Planck Institute for Dynamics of Complex Technical Systems

关键词: sep-lambda;    eigenvalue separation;    eigenvalue perturbation;    pseudospectra;    Hamiltonian matrix;   

DOI  :  10.1553/etna_vol58s402

学科分类：数学（综合）

来源: Kent State University * Institute of Computational Mathematics

【 摘 要 】

Given two square matrices $A$ and $B$, we propose a new approach for computing the smallest value $\varepsilon \geq 0$ such that $A+E$ and $A+F$ share an eigenvalue, where $\|E\|=\|F\|=\varepsilon$. In 2006, Gu and Overton proposed the first algorithm for computing this quantity, called $\mathrm{sep}_\lambda(A,B)$ (“sep-lambda”), using ideas inspired from an earlier algorithm of Gu for computing the distance to uncontrollability. However, the algorithm of Gu and Overton is extremely expensive, which limits it to the tiniest of problems, and until now, no other algorithms have been known. Our new algorithm can be orders of magnitude faster and can solve problems where $A$ and $B$ are of moderate size. Moreover, our method consists of many “embarrassingly parallel” computations, and so it can be further accelerated on multi-core hardware. Finally, we also propose the first algorithm to compute an earlier version of sep-lambda where $\|E\| + \|F\|=\varepsilon$.

【 授权许可】

Unknown