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Unshifted QR is orthonormalised simultaneous iteration, and every QR iterate is unitarily similar to the original matrix
Statement
Let be the unshifted QR iteration started from , and put and for .
- for every .
- The columns of are obtained by orthonormalising the columns of , so unshifted QR is simultaneous iteration followed by orthonormalisation.
Facts & Assumptions
Given: An unshifted QR iteration , .
Unshifted QR iteration is defined by the factorisation and update above (Unshifted QR iteration, shifted QR iteration, deflation, and the Wilkinson shift).
Subspace iteration is repeated QR orthonormalisation of powers of (Subspace iteration and the dominant invariant subspace of a matrix).
Proof
From [L1], Iterating this identity yields .
Also , so multiplying the factorisations gives with upper triangular. Thus the columns of are the orthonormalised columns of .
Step 1.1 proves unitary similarity, and step 1.2 identifies the iteration with simultaneous orthonormalised power iteration as in [L2].
Depends on
Used by
Dependency tree · two levels
5 results within two dependency steps of this one, each drawn at its shortest distance from it. An arrow runs from a result to what uses it, so the chart reads left to right and ends at this result, which carries a heavier outline. Every node is a link to that result. Click elsewhere on the chart to enlarge it.
Sources
- Per-Olof Persson, The QR Algorithm I (standard reference, not scraped)