Numerical Gradient Algorithms for Eigenvalue and Singular Value Calculations

Authors:
J. B. Moore;R. E. Mahony;U. Helmke
Affiliations:
-;-;-
Venue:
SIAM Journal on Matrix Analysis and Applications
Year:
1994

Citing 0
Cited 4

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Abstract

Recent work has shown that the algebraic question of determining the eigenvalues, or singular values, of a matrix can be answered by solving certain continuous-time gradient flows on matrix manifolds. To obtain computational methods based on this theory, it is reasonable to develop algorithms that iteratively approximate the continuous-time flows. In this paper the authors propose two algorithms, based on a double Lie-bracket equation recently studied by Brockett, that appear to be suitable for implementation in parallel processing environments. The algorithms presented achieve, respectively, the eigenvalue decomposition of a symmetric matrix and the singular value decomposition of an arbitrary matrix. The algorithms have the same equilibria as the continuous-time flows on which they are based and inherit the exponential convergence of the continuous-time solutions.