×

A new algorithm for the SVD of a long product of matrices and the stability of products. (English) Zbl 0895.65012

An LR type algorithm is derived to compute the singular values of a product of many matrices. A bound on the backward error on each of the matrices is derived and it is shown how hyperbolic rotations can be used to apply a shift to accelerate convergence. It is shown by numerical examples how the algorithm is useful to establish stability of matrix recurrences approximating dynamical systems.
Reviewer: A.Ruhe (Göteborg)

MSC:

65F15 Numerical computation of eigenvalues and eigenvectors of matrices
65F20 Numerical solutions to overdetermined systems, pseudoinverses
34D08 Characteristic and Lyapunov exponents of ordinary differential equations