Jacobis Method is More Accurate Than Qr

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Jacobis Method is More Accurate Than Qr
James Demmel
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Let H he a, positive definite symmetric matrix, and SH a small perturbation of H in the sense that [SHtj/Hi^] < rj/n for all i and j. Then || 0; for the other eigenvalues consider -H and -SH . The Courant-Fischer minimax theorem [12] expresses A, as x^Hx A, = rmn max - S" xeS' "^^^^ where the minimum is over all i-dimensional subspaces S'. Let the spaces Sq and Sj satisfy •, x^Hx ^ ^, x^iH + SH)x A, - = max -, . And A, = max -^=- x€s;^^Ax • ^^s\^^U< + 6K)x Then x^(H + 6H)x^ x^iH + SH)x x^Kx x^Hx l + m. A = min max -r-— tjt— < max =r— • -^jr—- tttt— • x r. < ^'^t S' xeS" ^ (^ + ^min(A) ■ relgapx, relgapx, Proof. Let vjt(O) be abbreviated by Vk. From [9] we have t;. (e) = v, +€Y^ -\ — i . Vk + 0(€2) Let yk = Dvk, so that v, {e) = v. + e ^ |i^ • Vk + 0{e^) (2. 8) i^ A. - Afc The pair (A, , y, ) is an eigenpair of the pencil A - XD ^ . Thus >^k = XkyjD'^yk = VkAyk > X^niA)\\yk\\l and so \\yk\\2 < ( Afc/A^„( . 4))'/2 Letting z^ = yk/Wykh lets us write (A, -A, )/(AfcAji/ ^M = v, +eZ, ,h::lf~:, ,^.

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