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The scaled computed Householder step satisfies the local backward error premise

Statement

Let C=[x  B]∈Rr×(q+1), r≥1, q≥0, undergo a successful step of Scaled Householder reflector formation and application, with 0<u<1 and ru<1. Define gr=ru1−ru,er=(1+u)r/2+3−1,dr=er+u(2+er),ar=1+u(1−u)r−1, cr=2((1+ar)(1+u)2(1+gr)−1),κr=max⁡{er+8dr,(1+u)cr+3u}. There is an exact orthogonal H, the identity when x=0 and H(v)=I−2vvT/(vTv) otherwise, and a perturbation E such that H(C+E)=C+,∥E∥F≤κr∥C∥F. The constants increase with r and are O(ru) for fixed r as u→0. The column overwrite is included. For any real separate block Y∈Rr×t, t≥0, successful application of the same stored (v,τ^) without an annihilation overwrite has discrepancy from H(v)Y at most ((1+u)cr+3u)∥Y∥F.

Facts & Assumptions

Given: The stated successful real step; every nonzero exact intermediate is normal and all zero operations are exact.

[F1]

Scaled Householder reflector formation and application fixes scaling, sequential dots, the two update multiplications, and the column overwrite.

[F2]

Operationwise real and complex floating point arithmetic with rounded square roots and fused multiply-add supplies relative errors at most u, correctly rounded square roots, and exact zero/sign operations.

[F3]

Householder reflectors and Givens transformations are unitary and can annihilate prescribed entries gives the exact orthogonal Householder representative and exact annihilation.

[F4]
[F5]

Cauchy–Schwarz: ∣⟨x,y⟩∣≤∥x∥ ∥y∥, with equality exactly for dependent pairs gives ∣⟨a,b⟩∣≤∥a∥2∥b∥2 for real Euclidean vectors. Expanding ∥a+b∥22 and applying this inequality gives ∥a+b∥2≤∥a∥2+∥b∥2. Then ∣∥a∥22−∥b∥22∣=∣⟨a−b,a+b⟩∣≤∥a−b∥2(∥a∥2+∥b∥2), which yields ∣∥a∥2−∥b∥2∣≤∥a−b∥2 (divide unless both vectors are zero). Cauchy-Schwarz also gives ∑i∣viBij∣≤∥v∥2∥B:j∥2.

[F6]

The Frobenius norm ∥A∥F=(∑i,j∣aij∣2)1/2 on real or complex matrices defines ∥M∥F2 as the sum of squared entry magnitudes, so Frobenius squares add over disjoint columns.

[F7]

The operator norm is zero on the zero domain and otherwise is max_{||v||=1} ||Tv|| defines ∥M∥2=max⁡∥y∥2=1∥My∥2 for a nonzero domain. Thus [F5] gives ∥abT∥2=max⁡∥y∥2=1∥a(bTy)∥2≤∥a∥2∥b∥2.

Proof

1.1givenF1F2algebra

If x=0, the algorithm copies B and the zero column; take H=I and E=0. Otherwise put N=∥x∥2, α0=−σN, v0=x−α0e1 and V0=∥v0∥2≥N. The nonnegative scaled squared-norm sum has each exact squared input multiplied by at most r+2 factors 1+δ, ∣δ∣≤u: two from scaling and at most r from squaring and subsequent additions. Thus the computed norm divided by N lies between (1−u)r/2+3 and (1+u)r/2+3 after square root and rescaling. For exponent p≥1, convexity of tp on t>0 gives 1−(1−u)p≤(1+u)p−1. Hence ∣α^−α0∣≤erN. Only the first stored coordinate can differ from v0, and subtraction gives ∥v−v0∥2≤(er+u(2+er))N=drN. Success gives nonzero stored v.

1.2givenF1F2F4F5algebra

Put V=∥v∥2. The rounded positive dot product satisfies (1−u)rV2≤w≤(1+u)rV2 by expansion of its products and additions, including exact zeros. The division defining τ^ therefore gives ∣τ^V2/2−1∣≤ar; the upper deviation dominates the lower by multiplying the positive denominators. A sequential signed dot product differs from its exact value by at most gr∑i∣viBij∣≤grV∥B:j∥2, by the same factor expansion, [F4], and Cauchy-Schwarz [F5].

2.1F3F5F7step 1.1algebra

For nonzero vectors a,b, adding and subtracting a/∥b∥ and using the reverse triangle inequality from [F5] gives ∥a/∥a∥−b/∥b∥∥≤2∥a−b∥/∥b∥. For unit z,w, expanding zzT−wwT=(z−w)zT+w(z−w)T and applying [F5] and [F7] to the rank-one terms gives operator norm at most 2∥z−w∥. Consequently ∥H(v)−H(v0)∥2≤8∥v−v0∥/V0≤8dr. Since H(v0)x=α0e1, the overwritten column differs from H(v)x by at most (er+8dr)N.

2.2F1F2F5F6step 1.2algebra

The exact rank-one update has norm at most 2∥B∥F: for z=v/V, each column satisfies ∥zzTB:j∥2=∣zTB:j∣≤∥B:j∥2 by [F5], and summing the squared column bounds gives the Frobenius estimate by [F6]. Replacing its coefficient by τ^, its dot by the computed dot, and its two multiplications by rounded multiplications bounds the update error by cr∥B∥F: successively the nonnegative majorants multiply by 1+ar, 1+gr, and (1+u)2, then subtract the exact majorant 2. Final subtraction adds at most u(∥B∥F+∥U∥F)≤u(3+cr)∥B∥F. Thus ∥B^−H(v)B∥F≤((1+u)cr+3u)∥B∥F. The same computation applies to any separate block Y.

3.1F3F6step 2.1step 2.2algebra∎

The first-column and remaining-column errors occupy disjoint columns, so their squared Frobenius norms add by [F6]; the same entrywise formula gives ∥C∥F2=∥x∥22+∥B∥F2. Steps 2.1 and 2.2 give ∥C+−H(v)C∥F≤κr∥C∥F. Choose E=H(v)C+−C; orthogonality gives H(C+E)=C+, and Frobenius norm invariance follows because H preserves the Euclidean norm of each column and [F6] sums their squares. Each displayed coefficient increases with r and has zero constant term and finite first derivative at u=0, proving the stated asymptotics.

Remarks

The former 3γr constant is false for this evaluation order; an exact binary counterexample is preserved in the run's owner rounded-derivative escalation evidence. This lemma supplies its own explicit bound and does not assert the distinct premise of the published conditional QR theorem.

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Sources