Updating the QR decomposition of block tridiagonal and block Hessenberg matrices

• Authors: Martin H. Gutknecht;Thomas Schmelzer
• Venue: Applied Numerical Mathematics
• Year: 2008

We present an efficient block-wise update scheme for the QR decomposition of block tridiagonal and block Hessenberg matrices. For example, such matrices come up in generalizations of the Krylov space solvers MinRes, SymmLQ, GMRes, and QMR to block methods for linear systems of equations with multiple right-hand sides. In the non-block case it is very efficient (and, in fact, standard) to use Givens rotations for these QR decompositions. Normally, the same approach is also used with column-wise updates in the block case. However, we show that, even for small block sizes, block-wise updates using (in general, complex) Householder reflections instead of Givens rotations are far more efficient in this case, in particular if the unitary transformations that incorporate the reflections determined by a whole block are computed explicitly. Naturally, the bigger the block size the bigger the savings. We discuss the somewhat complicated algorithmic details of this block-wise update, and present numerical experiments on accuracy and timing for the various options (Givens vs. Householder, block-wise vs. column-wise update, explicit vs. implicit computation of unitary transformations). Our treatment allows variable block sizes and can be adapted to block Hessenberg matrices that do not have the special structure encountered in the above mentioned block Krylov space solvers.