Eigenvalue backward errors of Rosenbrock systems and optimization of sums of Rayleigh quotient

TL;DR

This paper develops formulas and methods to compute eigenvalue backward errors for Rosenbrock systems by optimizing sums of Rayleigh quotients, introducing a NEPv-based approach for improved efficiency and visualization.

Contribution

It introduces a NEPv-based characterization for minimizing sums of Rayleigh quotients, improving computational efficiency and visualization in eigenvalue backward error analysis.

Findings

The NEPv approach outperforms traditional methods in efficiency.

Formulation as rational function minimization simplifies analysis.

Numerical experiments confirm the effectiveness of the proposed method.

Abstract

We address the problem of computing the eigenvalue backward error of the Rosenbrock system matrix under various types of block perturbations. We establish computable formulas for these backward errors using a class of minimization problems involving the Sum of Two generalized Rayleigh Quotients (SRQ2). For computational purposes and analysis, we reformulate such optimization problems as minimization of a rational function over the joint numerical range of three Hermitian matrices. This reformulation eliminates certain local minimizers of the original SRQ2 minimization and allows for convenient visualization of the solution. Furthermore, by exploiting the convexity within the joint numerical range, we derive a characterization of the optimal solution using a Nonlinear Eigenvalue Problem with Eigenvector dependency (NEPv). The NEPv characterization enables a more efficient solution of the SRQ2 minimization compared to traditional optimization techniques. Our numerical experiments demonstrate the benefits and effectiveness of the NEPv approach for SRQ2 minimization in computing eigenvalue backward errors of Rosenbrock systems.