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Nonlinear Eigenvalue Problems: Newton-Type Methods and Nonlinear Rayleigh Functionals

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Nonlinear Eigenvalue Problems: Newton-Type Methods and Nonlinear Rayleigh Functionals Nonlinear Eigenvalue Problems: Newton-type Methods and Nonlinear Rayleigh Functionals vorgelegt von Dipl.-Math. Kathrin Schreiber aus Weimar Von der Fakult¨atII - Mathematik und Naturwissenschaften der Technischen Universit¨atBerlin zur Erlangung des akademischen Grades Doktorin der Naturwissenschaften - Dr. rer. nat. - genehmigte Dissertation Promotionsausschuss: Vorsitzender: Prof. Dr. John M. Sullivan Berichter: Prof. Dr. Hubert Schwetlick Berichter: Prof. Dr. Volker Mehrmann Gutachter: Prof. Dr. Heinrich Voß Tag der wissenschaftlichen Aussprache: 09.05.2008 Berlin 2008 D 83 Danksagung Die vorliegende Dissertation w¨arenicht ohne Prof. Dr. Hubert Schwetlick entstanden, dem ich auf das Herzlichste danken m¨ochte. Ich danke ihm f¨urdas Vertrauen, das er mir entgegenbrachte, f¨urdie Freiheit, bei der Wahl der Schwerpunkte meinen Interessen nachzugehen, und f¨urdie Geduld, die er mir und meinen Fragen entgegenbrachte, sowie f¨urdie vielen kurzweiligen Stunden, in denen ich von ihm lernen konnte. Ich danke Prof. Dr. Volker Mehrmann ebenso herzlich f¨urseine fachliche Unterst¨utzung und die vielen Anmerkungen, Hinweise und kurzfristiges Korrekturlesen, wie daf¨ur,dass er mir die M¨oglichkeit gab, nach Berlin zu kommen in eine wundervolle, inspirierende Arbeitsumgebung. Beiden muss ich daf¨urdanken, dass sie Mittel und Wege fanden, mich ¨uber die letzten drei Jahre zu finanzieren. Herrn Prof. Dr. Voß danke ich f¨urseine Hinweise zur Geschichte von Rayleigh Funk- tionalen, und f¨urdie freundliche Bereiterkl¨arung,als Gutachter zu fungieren. Ich danke Elias Jarlebring f¨urdie Bereitstellung der Matrizen eines Beispiels. Ohne meine Freunde h¨atteich kaum die Kraft, Ausdauer und Geduld gehabt, die diese Arbeit abverlangten. Deswegen m¨ochte ich allen f¨urdie sch¨oneZeit in Dresden und Berlin { f¨urdie Gestaltung der Zeit jenseits vom scharfen Nachdenken { danken, sowohl Freunden als auch Kollegen. Insbesondere Dr. Sonja Schmelter, die so oft meine erste Ansprechpart- nerin war bei allen allgemeinen und LATEX 2"-Fragen, vers¨ußtemir den Dissertationsalltag und die zahlreichen Tassen Kaffee. Ganz besonders m¨ochte ich meiner Familie danken, auf die ich mich immer verlassen konnte. Meine Eltern (die besten, die es gibt) gaben mir Mut, R¨uckhalt und Kraft, seit ich denken kann. Alexander Hoyer danke ich aus tiefstem Herzen f¨urdie Unterst¨utzung, dass er f¨urmich da ist und mir so viel Liebe schenkt. iii iv To my parents v vi Abstract Nonlinear eigenvalue problems arise in many fields of natural and engineering sciences. Theoretical and practical results are scattered in the literature and in most cases they have been developed for a certain type of problem. In this thesis we consider the most general nonlinear eigenvalue problem without assumptions on the structure or spectrum. We start by providing basic facts on the conditioning of a simple eigenvalue and an inverse operator representation in terms of the singular value decomposition. The main part of the thesis connects Newton-type methods for nonlinear eigenvalue problems and nonlinear Rayleigh functionals. The one-sided and the two-sided/generalized Rayleigh functional are introduced with com- plex range, in contrast to the one-sided functional of the literature. Such functionals are the generalizations of Rayleigh quotients for matrices. Local uniqueness and bounds for the distance to the exact eigenvalue in terms of the angles of eigenvectors and approxi- mations to eigenvectors are derived. We obtain a first order perturbation bound which is used to show stationarity, and which implies the Lipschitz continuity of the functionals. With the so gained knowledge on Rayleigh functionals, we design new basic methods for the computation of eigenvalues and -vectors: The two{sided Rayleigh functional iteration is the analogon to the two-sided Rayleigh quotient iteration for nonnormal matrices, and is shown to converge locally cubically as well. These methods are important for subspace extension methods like Jacobi{Davidson and nonlinear Arnoldi, that need to solve small dimensional projected nonlinear problems. We compare the methods regarding computational costs and initial assumptions, and show numerical results. A technique to accelerate convergence for methods computing left and right eigenvector is introduced and the convergence improvement is shown in terms of the R-order. The new methods are called half-step methods. The half-step two-sided Rayleigh functional iteration is shown to converge with R-order 4. Using the previous results, we discuss various nonlinear Jacobi{Davidson methods. The proposed methods are compared theoretically regarding asymptotic condition numbers, vii and in practice with examples. The special case of nonlinear complex symmetric eigenvalue problems is examined. We show the appropriate definition of a complex symmetric Rayleigh functional, which is used to derive a complex symmetric Rayleigh functional iteration which converges locally cubi- cally, and the complex symmetric residual inverse iteration method. A complex symmetric Jacobi{Davidson algorithm is formulated and tested numerically. viii Zusammenfassung Nichtlineare Eigenwertprobleme entstehen in vielen Bereichen der Natur- und Ingenieur- wissenschaften. Obwohl sie seit mehreren Jahrzehnten Gegenstand der mathematischen Forschung sind, ist die L¨osungoftmals schwierig und ben¨otigt besonderen Aufwand, ins- besondere durch die Vielfalt und unterschiedlichen Anforderungen der einzelnen Problem- stellungen. In der Literatur finden sich verstreute Beitr¨agezur Analysis und verschiedene Algorithmen zur L¨osung,oft angepasst an die Struktur einer speziellen Klasse von Prob- lemen oder eines einzelnen Problems. Diese Arbeit besch¨aftigtsich mit dem nichtlinearen Eigenwertproblem in seiner allgemein- sten Form unter m¨oglichst wenigen Annahmen. Es werden zuerst Darstellungen f¨urdie Konditionszahl eines einfachen Eigenwertes und den inversen Operator entwickelt. Der Hauptteil der Arbeit befasst sich mit Newton-Verfahren in Zusammenhang mit nicht- linearen Rayleigh-Funktionalen, das bedeutet, die Eigenvektoren werden durch Newton- schritte verbessert und die Eigenwertn¨aherungenals Rayleigh-Funktionale neu bestimmt. Das einseitige und das zweiseitige, auch verallgemeinerte, Rayleigh-Funktional werden eingef¨uhrtauf einer komplexen Menge { im Gegensatz zum in der Literatur gebr¨auchlichen einseitigen reellen Funktional. Die so definierten Funktionale sind die nat¨urliche Er- weiterung der Rayleigh-Quotienten f¨ur Matrizen auf nichtlineare Eigenwertprobleme. Lo- kale Eindeutigkeit und Schranken f¨urden Abstand von Funktional und exaktem Eigenwert in Termen der Winkel zwischen Eigenvektoren und Eigenvektorapproximationen werden bewiesen. Eine St¨orungsschranke erster Ordnung wird hergeleitet, mit deren Hilfe Station- arit¨atunter bestimmten Voraussetzungen sowie die Lipschitz-Stetigkeit des Funktionals gezeigt werden. Mit dem Wissen ¨uber Rayleigh-Funktionale werden neue Verfahren f¨urdie Berechnung von Eigenwerten und -vektoren entwickelt und deren Konvergenz bewiesen. Diese Verfahren sind essentiell f¨urUnterraum-erweiternde Verfahren wie das Jacobi{Davidson-Verfahren oder das nichtlineare Arnoldi Verfahren, da diese niedrig dimensionierte projizierte nicht- lineare Eigenwertprobleme im Inneren der Algorithmen l¨osenm¨ussen.Es wird bewiesen, ix dass die zweiseitige Rayleigh-Funktional-Iteration lokal kubisch konvergiert. Die neuen Verfahren werden bez¨uglich Aufwand und Voraussetzungen wie auch anhand numerischer Beispiele mit bekannten verglichen. Eine Technik, die die R-Ordnung der Konvergenz von den Verfahren, die Links- und Rechtseigenvektoren berechnen, erh¨oht, wird aufgezeigt und analysiert. Die so entstande- nen neuen Verfahren erhalten das zus¨atzliche Attribut halb-Schritt. Die halb-Schritt zwei- seitige Rayleigh-Funktional-Iteration konvergiert mit R-Ordnung 4. Aufbauend auf den Aussagen ¨uber Rayleigh-Funktionale und ein- und zwei-Vektor Metho- den werden verschiedene Varianten des nichtlinearen Jacobi{Davidson Verfahrens vorgeschla- gen und analysiert, und zwar unter anderem von theoretischer Seite bez¨uglich asympto- tischer Konditionszahlen, als auch anhand von diversen numerischen Beispielen. Der Spezialfall des nichtlinearen komplex symmetrischen Eigenwertproblems wird disku- tiert und ein entsprechendes komplex symmetrisches Rayleigh-Funktional definiert. St¨o- rungsabsch¨atzungenerster Ordnung und die Stationarit¨atdes Funktionals werden gezeigt, lokal kubische Konvergenz f¨urdie komplex symmetrische Rayleigh-Funktional-Iteration bewiesen. Diese bildet die Grundlage f¨urdas komplex symmetrische Jacobi{Davidson- Verfahren, das formuliert und getestet wird. x Notation λ∗ exact eigenvalue x∗ exact right eigenvector y∗ exact left eigenvector (λ∗; x∗) eigenpair (λ∗; x∗; y∗) eigentriple u right eigenvector approximation v left eigenvector approximation λ¯ complex conjugate of λ M H M¯ T H _ α y∗ T (λ∗)x∗ H _ α~ x∗ T (λ∗)x∗ I;In identity matrix of order n en n-th unit vector (u; v) vH u, scalar product T (u; v)T v u S(λ, τ) fλ0 2 C : jλ0 − λj < τg ¯ S(λ, τ) fλ0 2 C : jλ0 − λj ≤ τg n K"(x∗) fu 2 C : ](spanfug; spanfx∗g) ≤ "g p(u) nonlinear (one-sided) Rayleigh functional p(u; v) nonlinear generalized/two-sided Rayleigh functional pT (u) nonlinear complex symmetric Rayleigh functional pL ≡ pL(λ, u; v) generalized Rayleigh quotient pN ≡ pL(λ, u; u) generalized one-sided Rayleigh quotient pLT ≡ pLT (λ, u) generalized complex symmetric Rayleigh quotient q ≡ q(λ, u) T_ (λ)u k : k Euclidean norm or spectral
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