Cyclic-by-row approximation of iterative polynomial EVD algorithms
Jamie Corr, Keith Thompson, Stephan Weiss, John G. McWhirter, Ian K. Proudler · 2014
A recent class of sequential matrix diagonalisation (SMD) algorithms have been demonstrated to provide a fast converging solution to iteratively approximating the polynomial eigenvalue decomposition of a parahermitian matrix. However, the calculation of an EVD, and the application of a full unitary matrix to every time lag of the parahermitian matrix in the SMD algorithm results in a high numerical cost. In this paper, we replace the EVD with a limited number of Givens rotations forming a cyclic-by-row Jacobi sweep. Simulations indicate that a considerable reduction in computational complexity compared to SMD can be achieved with a negligible sacrifice in diagonalisation performance, such that the benefits in applying the SMD are maintained.