An Implicit Multishift $QR$-Algorithm for Hermitian Plus Low Rank Matrices

• Authors: Raf Vandebril;Gianna M. Del Corso
• Venue: SIAM Journal on Scientific Computing
• Year: 2010

Hermitian plus possibly non-Hermitian low rank matrices can be efficiently reduced into Hessenberg form. The resulting Hessenberg matrix can still be written as the sum of a Hermitian plus low rank matrix. In this paper we develop a new implicit multishift $QR$-algorithm for Hessenberg matrices, which are the sum of a Hermitian plus a possibly non-Hermitian low rank correction. The proposed algorithm exploits both the symmetry and low rank structure to obtain a $QR$-step involving only $\mathcal{O}(n)$ floating point operations instead of the standard $\mathcal{O}(n^2)$ operations needed for performing a $QR$-step on a Hessenberg matrix. The algorithm is based on a suitable $\mathcal{O}(n)$ representation of the Hessenberg matrix. The low rank parts present in both the Hermitian and low rank part of the sum are compactly stored by a sequence of Givens transformations and a few vectors. Due to the new representation, we cannot apply classical deflation techniques for Hessenberg matrices. A new, efficient technique is developed to overcome this problem. Some numerical experiments based on matrices arising in applications are performed. The experiments illustrate effectiveness and accuracy of both the $QR$-algorithm and the newly developed deflation technique.