Joint eigenvalue estimation by balanced simultaneous Schur decomposition

摘要

The problem of joint eigenvalue estimation for the non-defective commuting set of matrices A is addressed. A procedure revealing the joint eigenstructure by simultaneous diagonalization of A with simultaneous Schur decomposition ( SSD) and balance procedure alternately is proposed for performance considerations and also for overcoming the convergence difficulties of previous methods based only on simultaneous Schur form and unitary transformations. It is shown that the SSD procedure can be well incorporated with the balancing algorithm in a pingpong manner, i. e., each optimizes a cost function and at the same time serves as an acceleration procedure for the other. Under mild assumptions, the convergence of the two cost functions alternately optimized, i. e., the norm of A and the norm of the left-lower part of A, is proved. Numerical experiments are conducted in a multi-dimensional harmonic retrieval application and suggest that the presented method converges considerably faster than the methods based on only unitary transformation for matrices which are not near to normality.