Structured Divide-and-Conquer for the Definite Generalized Eigenvalue Problem

TL;DR

This paper introduces a fast, randomized divide-and-conquer algorithm for the definite generalized eigenvalue problem, leveraging structure-aware pseudospectral shattering and perturbations to improve efficiency and parallelism.

Contribution

It extends pseudospectral shattering to structured pencils and develops a specialized, more efficient divide-and-conquer solver for definite generalized eigenvalue problems.

Findings

Algorithm is inverse-free and highly parallel.

Complexity is provably lower than general methods.

Effective for structured Hermitian pencils with positive Crawford number.

Abstract

This paper presents a fast, randomized divide-and-conquer algorithm for the definite generalized eigenvalue problem, which corresponds to pencils $(A,B)$ in which $A$ and $B$ are Hermitian and the Crawford number $\gamma(A,B) = \min_{||x||_2 = 1} |x^H(A+iB)x|$ is positive. Adapted from the fastest known method for diagonalizing arbitrary matrix pencils [Foundations of Computational Mathematics 2024], the algorithm is both inverse-free and highly parallel. As in the general case, randomization takes the form of perturbations applied to the input matrices, which regularize the problem for compatibility with fast, divide-and-conquer eigensolvers -- i.e., the now well-established phenomenon of pseudospectral shattering. We demonstrate that this high-level approach to diagonalization can be executed in a structure-aware fashion by (1) extending pseudospectral shattering to definite pencils under structured perturbations (either random diagonal or sampled from the Gaussian Unitary Ensemble) and (2) formulating the divide-and-conquer procedure in a way that maintains definiteness. The result is a specialized solver whose complexity, when applied to definite pencils, is provably lower than that of general divide-and-conquer.