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Sharp error bounds for Ritz vectors and approximate singular vectors. (English) Zbl 1441.65038
Let $$A\in\mathbb{C}^{n\times n}$$ be Hermitian with an eigenpair $$(\lambda,x)$$ and its approximation $$(\hat{\lambda},\hat{x})$$, $$\|\hat{x}\|=1$$, where $$\|\cdot\|$$ denotes the Euclidean norm. Define $r=A\hat{x}-\hat{\lambda}\hat{x},\quad\mathrm{gap}_c=\min_{\lambda\ne\mu\in\sigma(A)}|\mu-\hat{\lambda}|,$ where $$\sigma(A)$$ stands for the spectrum of $$A$$. C. Davis and W. M. Kahan [SIAM J. Numer. Anal. 7, 1–46 (1970; Zbl 0198.47201)] proved that the angle between $$x$$ and $$\hat{x}$$ satisfies $\sin\angle(x,\hat{x})\le\frac{\|r\|}{\mathrm{gap}_c}.$ This bound for $$\sin\angle(x,\hat{x})$$ is the best possible using only $$\|r\|$$ and $$\mathrm{gap}_c$$. If $$\|r\|\ge\mathrm{gap}_c$$, then these quantities therefore tell nothing about the accuracy of $$\hat{x}$$.
However, suppose that $$(\hat{\lambda},\hat{x})$$ has been computed by the Rayleigh-Ritz process (RR in short). Using this additional information, the author improves the Davis-Kahan bound, obtaining nontrivial bounds in all cases. He also pursues this topic further in three directions. First, to find error bounds for angles between invariant subspaces computed by RR. Second, to present their variants concerning the accuracy of singular vectors and singular subspaces of $$A\in\mathbb{C}^{m\times n}$$, $$m\ge n$$, computed by the Petrov-Galerkin projection method. Third, to extend the discussion to self-adjoint operators on a Hilbert space.
##### MSC:
 65F15 Numerical computation of eigenvalues and eigenvectors of matrices 15A18 Eigenvalues, singular values, and eigenvectors 15A42 Inequalities involving eigenvalues and eigenvectors
##### Software:
Chebfun; JDQR; JDQZ; lobpcg.m; PRIMME; PRIMME_SVDS
Full Text:
##### References:
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