A sharper loss-of-orthogonality bound for MGS-HA

Let AA be the symmetric positive-definite matrix defining the non-standard inner product, let ZZ be the input matrix with mm rows, let nn be the number of columns, and let u{\bf u} denote the unit roundoff. Write Q^\widehat Q for the computed AA-orthogonal factor and let κ()\kappa(\cdot) denote the condition number. The loss of AA-orthogonality is measured by Q^TAQ^In\|\widehat Q^{\rm T}A\widehat Q-I_n\|. MGS-HA orthogonality-bound conjecture. The loss of AA-orthogonality of MGS-HA can be bounded as

Q^TAQ^InO(m3/2)u(κ(A)+κ(A1/2Z))1O(m3/2)u(κ(A)+κ(A1/2Z))O(m3/2)u(κ(A)+κ(A1/2Z)).\|\widehat Q^{\rm T} A \widehat{Q} - I_n \| \leq \frac{\mathcal{O}(m^{3/2}) {\bf u} \left( \kappa(A) + \kappa(A^{1/2}Z) \right)}{1-\mathcal{O}(m^{3/2}) {\bf u} \left( \kappa(A) + \kappa(A^{1/2}Z)\right)} \approx \mathcal{O}(m^{3/2}) {\bf u} \left( \kappa(A) + \kappa(A^{1/2}Z) \right).

The quantity on the right is motivated by numerical experiments, where it describes the observed loss of AA-orthogonality for MGS-HA more sharply than the earlier bound, although the paper states that it has no theoretical background yet.

Sources & referencesView supporting material

Primary source

Akira Imakura and Yusaku Yamamoto, “Efficient implementations of the modified Gram-Schmidt orthogonalization with a non-standard inner product”, arXiv:1703.10440 (2017).

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