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THE CONDITIONING AND BACKWARD ERROR OF THE MACKEY

PENCIL

ASHLEY MAILLOUX AND LUCAS MEDINA

ADVISOR: MARIBEL BUENO

Abstract. The standard way of solving the PEP (polynomial eigenvalue problem)

P (λ)x = 0, where P (λ) is the matrix polynomial Ak λk + · · · + A1 λ + A0 and A0 , . . . , Ak

are n × n matrices, is by using linearizations (degree 1 matrix polynomials that share the

eigenstructure of P (λ)). There are efficient algorithms, like the QZ method, used to solve

the PEP for the linearizations. When choosing a linearization, it is convenient that it

has similar conditioning and backward error to P (λ) while also preserving its structural

properties like symmetries in the coefficients. In our work, we study the Mackey pencil

T (λ), which is block-symmetric. In the literature, the pencils called D1 and Dk belonging

to the vector space DL(P ), were shown to be optimal in regards to the conditioning and

backward error associated with an eigenpair (δ, x), when |δ| ≥ 1 and |δ| ≤ 1, respectively.

Moreover, D1 and Dk are linearizations only if A0 and Ak are nonsingular, respectively.

Given a simple, finite, nonzero eigenvalue of P (λ), we provide explicit expressions for

the condition number and backward error of an eigenpair (δ, x) for both P (λ) and T (λ)

as well as bounds on the quotients of these numbers. Unlike D1 and Dk , the numerical

behavior of the Mackey pencil does not depend on the modulus of δ and does not require

Ak or A0 to be nonsingular for T (λ) to be a linearization of P (λ). The only drawback

is that this pencil is only available for k odd. We will provide results from numerical

experiments.

1. Introduction

Let P (λ) be the n × n matrix polynomial of degree k

P (λ) =

k

X

λi Ai ,

Ai ∈ Cnxn .,

i=0

In this paper, we will be assuming that P is regular, that is the det(P (λ)) 6= 0. If x and

y are nonzero vectors such that they are a solution to the polynomial eigenvalue problem

(PEP), P (λ)x = 0 and y ∗ P (λ) = 0, then we will say that x and y are a right and left

eigenvector, respectively. The scalar λ is called a (finite) eigenvalue of P (λ).

The standard method of solving the PEP is to use a matrix pencil, a matrix polynomial

of degree 1 that is a linearization of P (λ). We say that L(λ) = λL1 + L0 is a linearization

of P (λ) if there exists two unimodular matrices, F (λ) and G(λ) such that

I(k−1)n

0

F (λ)L(λ)G(λ) =

.

0

P (λ)

When the degree of P (λ) is larger than 1, the PEP becomes difficult to solve numerically.

Choosing a linearization of P proves to be an easier way to solve the PEP since there are

1

2

ASHLEY MAILLOUX AND LUCAS MEDINA ADVISOR: MARIBEL BUENO

efficient algorithms for the generalized eigenvalue problem. The new problem that we are

solving is

L(λ)z = 0,

where z is a right eigenvector of L.

When P (λ) is structured (Hermitian, Skew-Hermitian, Palindromic, ...), it is convenient

to use linearizations that preserve the structural properties of P . For example, if P is

hermitian, meaning that Ai = A∗i for i = 0 : k, we want a linearization L(λ) = λL1 + L0

such that L∗i = Li , i = 0 : 1. Note that A∗ denotes the complex conjugate transpose of

the matrix A.

Also, when applying an algorithm to solve the eigenvalue problem for L(λ) we would

like the linearization to be comparable to P (λ) in regards to other properties, such as

conditioning and backward error. When choosing a linearization, it is not desirable to

choose one that has worse conditioing than P (λ). Also, the standard algorithm to compute

the eigenvalue problem for L, that is the QZ method, produces small backward errors.

Thus, we want to choose a linearization whose backward error is approximately the same

as that of P . Linearizations with these properties are considered optimal for our purposes.

In 2006, a group of mathematicians created a vector space which they named DL(P ).

The standard basis for this vector space contains k pencils, denoted by D1 , . . . Dk . Extensive research has been done on the pencils in this space regarding conditioning and

backward error. In [4], it was shown that there are two optimal linearizations (in regards

to conditioning and backward error) in DL(P ): D1 and Dk . D1 and Dk are optimal when

|δ| ≥ 1 and |δ| ≤ 1, respectively and D1 and Dk are linearizations of P only if A0 and AK

are nonsingular, respectively.

The goal of our project is to find a block-symmetric pencil such that it is a linearization

that behaves comparably to P (λ) in regards to conditioning and backward error and that

does not require nonsingularity. Furthermore, we worked on finding a pencil that behaved

optimally regardless of the eigenvalues of any P (λ).

Through research, we were able to find such a pencil, but only for matrix polynomials of

odd degrees. We constructed bounds on the backward error for this pencil and present the

proof of these bounds in our paper. Also, we conducted numerical experiments examining

the conditioning and backward error of our pencil compared to other pencils.

The paper is structured as follows: In Section 2, we present relevant background information with examples to motivate our basic concepts. In Section 3, we discuss important

pencils in literature. In Section 4, we describe the scaling technique that we used in our

numerical experiments and in section 5, we present our numerical experiments and end

our paper with our conclusions and future work.

2. Background

We will begin with defining commonly used terms throughout our paper and these

concepts will motivate our results that are mentioned in later sections. This information

has been drawn from several publications, all of which are referenced accordingly.

It is important to recall that the 2-norm of a matrix is the maximum of the norm of

Ax where x ranges over the unit sphere. Also note that in our paper, ⊗ refers to the

Kronecker product.

THE CONDITIONING AND BACKWARD ERROR OF THE MACKEY PENCIL

3

2.1. Forward Error. When using any algorithm to solve the PEP, it will produce some

forward error. The relative forward error is

|ˆ

y − y|

|y|

where yˆ is the computed value for y.

It happens to be that for our problem, the forward error is bounded above by the

conditioning and the backward error of the problem. Specifically,

forward error ≤ condition number × backward error.

2.2. Conditioning. To think of conditioning in a general sense, let us consider a polynomial of degree 2.

For example, let us examine

x2 − 2x + 1 = 0

(x − 1)2 = 0

x = 1, (double root)

When using a computer to compute solutions, there will be errors due to rounding and

truncation errors. So next we examine what happens when one of the coefficients change

slightly. Let us change the constant term to .9999. The problem that we are now solving

for is x2 − 2x + .9999 = 0

Thus,

x2 − 2x + .9999 = 0

(x − .99)(x − 1.01) = 0

x = .99, 1.01

Notice that a small change in the constant term, exactly a change of 1.0 × 10−4 resulted

in a change in the roots by1.0 × 10−2 . So a slight change in the input caused a much larger

change in the output.

We can classify the way a problem is conditioned in one of two ways. A problem

is said to be well-conditioned or ill-conditioned. A problem is well-conditioned if a small

perturbation in the input results in a small change in the output. Ill-conditioned problems

are those in which a small perturbation in the input results in a large change in the output.

Thus, it is easy to see that the conditioning of a problem deals with the senstivity of the

problem, not the algorithm. The words small and large are obviously subjective, but the

value of the condition number can be classified as either depending on the problem at

hand. For certain problems, a condition number could be said to be well-conditioned, but

not for others.

For this specific problem, we will provide the roots for any change in the constant term

in order to classify the problem in regards to conditioning.

x2 − 2x + (1 + ∆) = 0

4

ASHLEY MAILLOUX AND LUCAS MEDINA ADVISOR: MARIBEL BUENO

Using the quadratic formula,

p

4 − 4(1 + ∆)

δ + ∆δ =

√ 2

2 ± −4∆

=

√2

= 1 ± −∆

2±

Thus,

|δx |

|x|

lim |δ|

∆→0

|a|

=

√

| ∆|

|δ|

|∆|

|a|

√

|a|

∆

=

·

|δ| |∆|

=∞

It easily shown that a small change in input results in a drastic change in the output.

Thus, we can classify the example above as being an ill-conditioned problem.

For our problem, the explicit expression for the condition number is

P

( kn=0 |λ|i kAi k2 ) kyk2 kxk2

κP (λ) =

,

|λ||y ∗ P 0 (λ)x|

where x and y are right and left eigenvectors and λ is a simple, finite, non-zero eigenvalue.

0

P is the entry-wise derivative of P .

2.3. Backward Error. Unlike conditioing, the backward error deals with an error in the

algorithm itself. When the algorithm computes the solution, it is not the exact solution

for the problem given. The backward error looks to find the exact problem that yields the

computed solution. If we have a problem, f (a) = b, the algorithm produces the solution

ˆb. We must find the exact problem that yields ˆb. That is,

f (a + ∆a) = ˆb.

ˆ

In a more formal setting, the normwise backward error [1] of an approximate eigenpair(ˆ

x, λ)

ˆ is finite is defined as

of P (λ), where λ

ˆ = min{ : (P (λ)

ˆ + ∆P (λ))ˆ

ˆ x = 0, k∆Ai k ≤ kAi k , i = 0 : m}

ηP (ˆ

x, λ)

2

2

Pm ˆ i

ˆ

where ∆P (λ) = i=0 λ ∆Ai .

For our research, we use the explicit formula for backward error that was constructed

by Tisseur[1] as

ˆ

x

P (λ)ˆ

2

ˆ = P

ηP (ˆ

x, λ)

m

i

ˆ

( i=0 |λ | kAi k2 ) kˆ

xk 2

ˆ

where (ˆ

x, λ) is a computed eigenpair for P.

THE CONDITIONING AND BACKWARD ERROR OF THE MACKEY PENCIL

5

3. Noteworthy Pencils in Literature

3.1. The Vector Space DL(P ). Recall the vector space DL(P ) that we mentioned briefly

in the introduction. There are two vector spaces, L1 (P ) and L2 (P ) in which almost all of

the pencils belonging to these vector spaces are linearizations for the matrix polynomial

P (λ). For linearizations that are in L1 (P ), it has been shown that it easy to recover the

right eigenvectors of the matrix polynomial from the right eigenvectors of the linearization.

Similarly, the left eigenvectors for P (λ) can be easily recovered from the left eigenvectors

of a linearization in L2 (P ). Mackey, Mackey, Mehl, and Mehrmann [4] constructed DL(P )

from the intersection of these vector spaces.

Definition 3.1. For any matrix polynomial P (λ) of size n × n, the double ansatz space

of P is

DL(P ) := L1 (P ) ∩ L2 (P ),

which is the set of nk × nk pencils L(λ) that simultaneously satisfy

L(λ) · (Λ ⊗ I) = v ⊗ P (λ) for some v ∈ Fk

(ΛT ⊗ I) · L(λ) = wT ⊗ P (λ) for some w ∈ Fk ,

which are referred to as a ”right” and “left ansatz,” respectively.

Recall that almost all of the pencils in this vector space are linearizations for P (λ) and

that the standard basis for this vector space contains k pencils, denoted by D1 , . . . Dk .

The optimal linearizations in regards to conditioning and backward error in DL(P ) are

D1 and Dk . D1 and Dk are optimal when |δ| ≥ 1 and |δ| ≤ 1, respectively.

The bounds for the conditioning of the pencils D1 and Dk provided below were calculated

by Bueno, Dopico, and Furtado [2].

Theorem 1. Let P (λ) be a regular matrix polynomial of degree k with A0 6= 0. Assume

maxi=0:k {kAi k2 }

that δ is a simple, finite, nonzero eigenvalue of P (λ). Let ρ = min{kA

and consider

k k2 ,kA0 k2 }

the natural weights for D1 (λ, P ) and P (λ).

• If A0 is nonsingular and |δ| ≥ 1, then

1

κD1 (δ)

≤

≤ 2k 2 ρ.

kρ

κP (δ)

• If Ak is nonsingular and |δ| ≤ 1, then

1

κDk (δ)

≤

≤ 2k 2 ρ.

kρ

κP (δ)

The backward error bounds were constructed by Higham, Li, and Tisseur for the homogenous form of P (λ). The homogenous form allows for λ to be infinite or zero. In

Section 4, we will define a scaling technique that we used that preserves the conditioning

and backward error. If λ were to be infinite or 0, the scaling would no longer preserve the

conditioning or backward error. Thus, in our research we only looked at finite, simple,

non-zero eigenvalues.

The following two theorems are for upper bounds of the backward error for any L ∈

DL(P ). We only were able to look at the right eigenvectors for P and L, so computations

in the future must be done for the left eigenvectors as well.

6

ASHLEY MAILLOUX AND LUCAS MEDINA ADVISOR: MARIBEL BUENO

Theorem 2. Let P (λ) be a matrix polynomial and let L(λ) ∈ DL(P ) be a linearization

for P with ansatz vector v. Let z be a right eigenvector of L and let x = (v T ⊗ In )z . Let

ηP and ηL be the backward error for the matrix polynomial and L ∈ DL(P ). The ratio ηηPL

is bounded above such that

|λ| + 1 kzk2

ηP

≤ kr1/2 ρ k

ηL

|λ| + 1 kxk2

where ρ =

max{kAi k2 }

.

min {kAk k2 ,kA0 k2 }

Proof. Since L(λ)z = v ⊗ P (λ)x, it follows that

kvk2 kP (λ)xk2 = kv ⊗ P (λ)xk2 = kL(λ)zk2 ≤ kL(λ)k2 kzk2

Thus,

kP (λ)xk2 ≤

By multiplying both denominators by (

kL(λ)k2 kzk2

.

kvk2

Pk

i=0

|λ|i kAi k2 ) kxk2 , it follows that

kP (λ)xk2

kL(λ)zk2

≤ Pk

.

Pk

i

( i=0 |λ| kAi k2 ) kxk2

( i=0 |λ|i kAi k2 ) kxk2 kvk2

kP (λ)xk2

(|λ| kL1 k2 + kL0 k2 ) kzk2

ηP

= Pk

ηL

kL(λ)zk2

( i=0 |λ|i kAi k2 ) kxk2

(|λ| kL1 k2 + kL0 k2 ) kzk2

≤ Pk

( i=0 |λ|i kAi k2 ) kxk2 kvk2

(|λ| + 1) max{kL1 k2 , kL0 k2 } kzk2

≤

.

P

( ki=0 |λ|i kAi k2 ) kxk2 kvk2

where the last inequality follows because

|λ| kL1 k+kL0 k ≤ |λ| max{kL1 k2 , kL0 k2 }+max{kL1 k2 , kL0 k2 } = (|λ|+1) max{kL1 k2 , kL0 k2 }.

In [2, theorem 3.20] shows us

max{kL1 k2 , kL0 k2 } ≤ kr1/2 max kAi k2 kvk2

THE CONDITIONING AND BACKWARD ERROR OF THE MACKEY PENCIL

7

(|λ| + 1) max{kL1 k2 , kL0 k2 } kzk2

ηP (x, λ)

≤

P

ηL (z, λ)

( ki=0 |λ|i kAi k2 ) kxk2 kvk2

≤

kr1/2 (|λ| + 1) max{kAi k2 } kzk2

P

( ki=0 |λ|i kAi k2 ) kxk2

It follows that

k

X

|λ|i kAi k2 ≥ |λ|k kAk k2 + kA0 k2 . ≥ (|λ|k + 1) min{kAk k2 , kA0 k2 }

i=0

Then, a calculation shows

kr1/2 (|λ| + 1) max{kAi k2 } kzk2

ηP (x, λ)

≤

P

ηL (z, λ)

( ki=0 |λ|i kAi k2 ) kxk2

max{kAi k2 }

kzk2

|λ| + 1

1/2

≤ kr

k

|λ| + 1 min{kA0 k2 , kAk k2 } kxk2

|λ| + 1 kzk2

1/2

= kr ρ

|λ|k + 1 kxk2

Notice that the upper bound for the backward error depends on the modulus of the

eigenvalue. This requires the calculation of the eigenvalues, but furthermore, if the eigenvalue is large or small, the bounds could become extremely large or virtually 0. The next

bound we provide is an alternative bound that does not depend on the modulus of the

eigenvalue.

Theorem 3. Let P (λ) be a matrix polynomial and let L(λ) ∈ DL(P ) be a linearization

for P with ansatz vector v. Let z be a right eigenvector of L and let x = (v T ⊗ In )z . Let

ηP and ηL be the backward error for the matrix polynomial and L ∈ DL(P ). The ratio ηηPL

is bounded above such that

kzk2

ηP

≤ k 3/2 r1/2 ρ

.

ηL

kxk2

Proof. Note that

k(P (λ)xk2 = P (λ)(v T ⊗ In )z 2

= (v T ⊗ P (λ))z 2

= (ΛT ⊗ In )L(λ)z 2

≤ ΛT ⊗ In kL(λ)zk

2

2

8

ASHLEY MAILLOUX AND LUCAS MEDINA ADVISOR: MARIBEL BUENO

(|λ| kL1 k2 + kL0 k2 ) kzk2

ηP

kP (λ)xk

= Pk

ηL

kL(λ)zk2

( i=0 |λ|i kAi k2 ) kxk2

kΛ(λ) ⊗ In k2 kL(λ)zk2 (|λ| kL1 k2 + kL0 k2 ) kzk2

≤

.

P

( ki=0 |λ|i kAi k2 ) kxk2 kL(λ)zk2

From the techniques used in the proof of the previous theorem,

T

Λ (λ) ⊗ In (|λ| + 1) max{kL1 k , kL0 k } kzk

ηP

2

2

2

2

≤

Pk

i

ηL

(

|λ| kAi k2 ) kxk2

T

i=0

Λ (λ) ⊗ In (|λ| + 1)kr1/2 max{kAi k } kzk

2

2

2

≤

k

(|λ| + 1) min{kAk k2 , kA0 k2 } kxk2

By Lemma A.1 in [5]

T

Λ (λ) ⊗ In (|λ| + 1) √

2

≤ k.

|λ|k + 1

Thus,

k 3/2 r1/2 max{kAi k2 } kzk2

ηP

≤

ηL

min {kAk k2 , kA0 k2 } kxk2

kzk2

= k 3/2 r1/2 ρ

kxk2

where ρ =

max{kAi k2 }

.

min {kAk k2 ,kA0 k2 }

Even though these bounds work for any linearization in DL(P ), the two optimal linearizations are D1 and Dk . Unfortunately, D1 and Dk are linearizations of P (λ) only if

A0 and Ak are nonsingular, respectively. Another disadvantage of these two pencils is

that the bounds for the backward error depend on the modulus of the eigenvalue. These

pencils are optimal and linearizations, but only under the conditions mentioned.

3.2. Mackey Pencil. As seen in Section 3.1, the pencils D1 and Dk were shown to be

optimal in terms of conditioning and backward error, but both depended on the modulus of

the eigenvalue. Finding a pencil that numerically behaves like D1 and Dk for all eigenvalues

would prove extremely helpful, as this pencil could replace the other two. This section

of the paper focuses on one specific block-symmetric linearization of P (λ) which we will

refer to as the Mackey pencil.

Definition 3.2. The Mackey pencil T (λ), is a linearization of P (λ) of the following form,

depending on k.

THE CONDITIONING AND BACKWARD ERROR OF THE MACKEY PENCIL

9

If k is even, T (λ) is

0

I

I Ak−1

λ

−1

Ak

−Ak−2 I

.

..

I

0 ..

−

.

−A2 I

0 I

I

0

I A1

.

−A0

If k is odd, T (λ) is

Ak

0

I

I

A

k−2

λ

−Ak−1 I

I

0

−

..

.

0 I

I A1

..

.

−A2 I

I

0

−A0

.

Unlike pencils in DL(P ), when k is odd A0 and Ak do not need to be nonsingular.

When k is even, we see that Ak must be nonsingular, which could be problematic. In

this section of the paper we will theoretically focus on when k is odd due to the good

theoretical behavior of k odd. Later on, we will show numerical experiments for when k

is even, explaining why we did not further explore the even case theoretically.

The bounds for the condition number[2] were constructed by Bueno, Dopico, and Furtado for generalized Fiedler pencils.

Theorem 4. Let P (λ) be a regular matrix polynomial of odd degree k with A0 6= 0. Assume

that δ is a simple, finite, nonzero eigenvalue of P (λ). Let T (λ) be the Mackey pencil of

P (λ). Then,

κT (δ)

1

≤

≤ 2k 4 ρ1 ,

k

κP (δ)

where ρ1 =

maxi=0:k {kAi k2 ,1}3

min{kAk k2 ,kA0 k2 }

and ρ2 =

min{max{kAk k2 ,1},max{kA0 k2 ,1}}

.

max{kAi k2 }

Definition 3.3. For a computed eigenpair, the backward error for the matrix polynomial,

P (λ) and for the Mackey pencil, T (λ) are given by

ˆ

x

P (δ)ˆ

2

ˆ = P

ηP (ˆ

x, δ)

m

i

ˆ

( i=0 |δ | kAi k2 ) kˆ

xk2

ˆ is a computed eigenpair for P. and

where (ˆ

x, δ)

ˆ =

ηT (ˆ

z , δ)

ˆ

z

T (δ)ˆ

2

ˆ kT1 k + kT0 k )

(|δ|

2

2

ˆ is a computed eigenpair for L.

where (ˆ

z , δ)

.

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