Numerical Stability of Lanczos Methods
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by
Eamonn Cahill, Alan Irving, Christopher Johnson, James Sexton
1999
Abstract
The Lanczos algorithm for matrix tridiagonalisation suffers from strong
numerical instability in finite precision arithmetic when applied to evaluate
matrix eigenvalues. The mechanism by which this instability arises is well
documented in the literature. A recent application of the Lanczos algorithm
proposed by Bai, Fahey and Golub allows quadrature evaluation of inner products
of the form ψ^† g(A) ψ. We show that this quadrature evaluation
is numerically stable and explain how the numerical errors which are such a
fundamental element of the finite precision Lanczos tridiagonalisation
procedure are automatically and exactly compensated in the Bai, Fahey and Golub
algorithm. In the process, we shed new light on the mechanism by which roundoff
error corrupts the Lanczos procedure
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