Fast Hessenberg reduction of some rank structured matrices

Gemignani L, Robol L

Hessenberg reduction  Quasiseparable matrices  Bulge chasing  CMV matrix  Complexity 

We develop two fast algorithms for Hessenberg reduction of a structured matrix $A = D + UV^H$, where $D$ is a real or unitary n x n diagonal matrix and $U, V in mathbb{C}^{n times k}$. The proposed algorithm for the real case exploits a two-stage approach by first reducing the matrix to a generalized Hessenberg form and then completing the reduction by annihilation of the unwanted subdiagonals. It is shown that the novel method requires O(n^2 k) arithmetic operations and is significantly faster than other reduction algorithms for rank structured matrices. The method is then extended to the unitary plus low rank case by using a block analogue of the CMV form of unitary matrices. It is shown that a block Lanczos-type procedure for the block tridiagonalization of Re(D) induces a structured reduction on A in a block staircase CMV-type shape. Then, we present a numerically stable method for performing this reduction using unitary transformations and show how to generalize the subdiagonal elimination to this shape, while still being able to provide a condensed representation for the reduced matrix. In this way the complexity still remains linear in k and, moreover, the resulting algorithm can be adapted to deal efficiently with block companion matrices.

Source: SIAM JOURNAL ON MATRIX ANALYSIS AND APPLICATIONS, vol. 38 (issue 2), pp. 574-598