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A block algorithm for matrix 1-norm estimation, with an application to 1-norm pseudospectra

机译:矩阵1-范数估计的块算法及其在1-范伪谱中的应用

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摘要

The matrix 1-norm estimation algorithm used in LAPACK and various other software libraries and packages has proved to be a valuable tool. However, it has the limitations that it offers the user no control over the accuracy and reliability of the estimate and that it is based on level 2 BLAS operations. A block generalization of the 1-norm power method underlying the estimator is derived here and developed into a practical algorithm applicable to both real and complex matrices. The algorithm works with n × t matrices, where t is a parameter. For t=1 the original algorithm is recovered, but with two improvements (one for real matrices and one for complex matrices). The accuracy and reliability of the estimates generally increase with t and the computational kernels are level 3 BLAS operations for t > 1. The last t-1 columns of the starting matrix are randomly chosen, giving the algorithm a statistical flavor. As a by-product of our investigations we identify a matrix for which the 1-norm power method takes the maximum number of iterations. As an application of the new estimator we show how it can be used to efficiently approximate 1-norm pseudospectra.
机译:LAPACK和其他各种软件库和程序包中使用的矩阵1-范数估计算法已被证明是一种有价值的工具。但是,它的局限性在于它无法为用户提供对估算准确性和可靠性的控制,并且它基于2级BLAS操作。此处推导了估计量基础的1-范数幂方法的块概括,并将其发展为适用于实数和复数矩阵的实用算法。该算法适用于n×t矩阵,其中t是参数。对于t = 1,恢复了原始算法,但进行了两项改进(一项针对实矩阵,另一项针对复杂矩阵)。估计的准确性和可靠性通常随t的增加而增加,并且计算核为t> 1的3级BLAS运算。随机选择起始矩阵的最后t-1列,从而使该算法具有统计意义。作为我们研究的副产品,我们确定了一个矩阵,其中1-范数幂方法采用了最大的迭代次数。作为新估计器的应用,我们展示了如何将其用于有效地逼近1-范数伪谱。

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