Applications of Mathematics, Vol. 62, No. 4, pp. 357-375, 2017
Improving backward stability of Sakurai-Sugiura method with balancing technique in polynomial eigenvalue problem
Hongjia Chen, Akira Imakura, Tetsuya Sakurai
Received January 29, 2017. First published July 5, 2017.
Abstract: One of the most efficient methods for solving the polynomial eigenvalue problem (PEP) is the Sakurai-Sugiura method with Rayleigh-Ritz projection (SS-RR), which finds the eigenvalues contained in a certain domain using the contour integral. The SS-RR method converts the original PEP to a small projected PEP using the Rayleigh-Ritz projection. However, the SS-RR method suffers from backward instability when the norms of the coefficient matrices of the projected PEP vary widely. To improve the backward stability of the SS-RR method, we combine it with a balancing technique for solving a small projected PEP. We then analyze the backward stability of the SS-RR method. Several numerical examples demonstrate that the SS-RR method with the balancing technique reduces the backward error of eigenpairs of PEP.