# Universiteit-Utrecht. Department. of Mathematics. Optimal a priori error bounds for the. Rayleigh-Ritz method

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1 Universiteit-Utrecht * Deartment of Mathematics Otimal a riori error bounds for the Rayleigh-Ritz method by Gerard L.G. Sleijen, Jaser van den Eshof, and Paul Smit Prerint nr Setember, 2000

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3 OPTIMAL A PRIORI ERROR BOUNDS FOR THE RAYLEIGH-RITZ METHOD GERARD L.G. SLEIJPEN, JASPER VAN DEN ESHOF, AND PAUL SMIT y Abstract. We derive error bounds for the Rayleigh-Ritz method for the aroximation to extremal eigenairs of a symmetric matrix. The bounds are exressed in terms of the eigenvalues of the matrix and the angle between the subsace and the eigenvector. We also resent a shar bound. Key words. symmetric matrices, eigenvalue roblem, subsace rojection, Rayleigh-Ritz, error bounds AMS subject classication. 65F15, 65F50 1 Introduction The Rayleigh-Ritz method (or subsace rojection) is a widely used technique for comuting an aroximation to the extreme eigenvalues and corresonding eigenvectors of a matrix A. It is often an integral art of modern iterative methods for comuting aroximations to eigenairs of large sarse matrices. Examles of these methods for the symmetric eigenroblem include the Lanczos method [5], the Davidson method [1], and many others. In this short note, we derive error bounds for the Rayleigh-Ritz aroximation to the eigenair with the smallest eigenvalue of a symmetric matrix A. The bounds are exressed in terms of the eigenvalues of A and the angle between the subsace and the eigenvector of interest. We may therefore call these bounds truly a riori. Obviously, all results can be transformed to statements about the largest eigenvalue and corresonding eigenvector by relacing A with?a. So, let A be a symmetric matrix with eigenairs ( i ; x i ) and 1 < 2 : : : n?1 < n : Let V 2 R kn be an orthogonal matrix, of which the columns san the k dimensional subsace V. The Rayleigh-Ritz aroach gives k aroximate eigenairs ( i ; u i ), the so-called Ritz airs, by imosing the Ritz-Galerkin condition or equivalently, We number the Ritz values such that Au i? i u i? V with u i 2 Vnf0g; V T AV z i? i z i = 0 with u i V z i 6= 0 : 1 2 : : : k?1 k : Deartment of Mathematics, Utrecht University, P.O. Box , NL-3508 TA Utrecht, The Netherlands. y IBM, Watsonweg 2, 1423 ND, Uithoorn, The Netherlands.

4 2 Otimal a riori error bounds for the Rayleigh-Ritz method We are interested in the Ritz air, ( V ; u V ), for which sin 2 \(u V ; x 1 ) is minimal over all Ritz vectors. This is the air with the Ritz vector that makes the smallest angle with x 1 over all Ritz vectors. In the ideal case we would have that u V is a multile of x V, where x V is the normalized rojection of x 1 on V. This would give sin 2 \(u V ; x 1 ) = sin 2 \(V; x 1 ), which is otimal. Unfortunately, the aroximation u V is not a multile of x V in general. The following bound is discussed in Section 2 and is a consequence of well-known bounds: sin 2 \(u 1 ; x 1 ) sin 2 \(V; x 1 ) + n? 2 (1) sin 2 \(V; x 1 ) : 2? 1 This uer bound shows that u 1, corresonding to the smallest Ritz value, becomes closer to x 1, when the angle between V and x 1 is decreased. This and the orthogonality of the Ritz vectors guarantee that for small enough angles between V and x 1, V equals 1. But although (1) is an elegant exression, it is not shar. Following suggestions from [8], we show that, using only the angle \(V; x 1 ) and information about the sectrum of A, this bound in case sin 2 \(V; x 1 ) < 2? 1 can be imroved to (2) sin 2 \(u 1 ; x 1 ) sin 2 \(V; x 1 ) + 2 tan2 \(V; x 1 ); (n? 2 ) 2 with. ( )( 2? 1 Bound (2) shows that, besides a theoretical minimum of ) sin 2 \(V; x 1 ), we cannot loose more than an additional 2 tan2 \(V; x 1 ). This is at most a factor 2 n? 2 smaller than the additional term in bound (1). This factor can be large (if 2 n ). However, the bound (2) itself is at most a factor two smaller than the bound in (1) (if 2 1 ). The uer bound in (2) is also not shar and we derive a less elegant but otimal bound in Theorem 3.1 of which (2) is a simle corollary. We furthermore show that under this same condition on sin 2 \(V; x 1 ), V equals 1. This is the subject of Section 3. The new, sharer bounds can be used to imrove a riori convergence bounds for iterative eigenvalue methods. Often, the analysis of these methods can be slit in the construction of an uer bound on sin 2 \(V; x 1 ) and the analysis of the error contributed by the Rayleigh-Ritz method. For examle, Theorem 1 in [6] gives a bound for the angle between x 1 and Krylov subsaces. Combining this with (1) gives recisely the bound for the rst eigenvector of Kaniel [3] for the Lanczos method. In literature, these bounds are often imroved by (imlicitly) constructing better bounds for sin 2 \(V; x 1 ). However, in this note we focus on error bounds for the Rayleigh-Ritz method and our results are not restricted to a secic method. 2 Some well-known uer bounds Suose that the angle \(V; x j ) between V and x j is small. Let j be the eigenvalue corresonding to x j, where j is ossibly in the interior of the sectrum. Then we may ask if there is a Ritz value close to j. A simle alication of the Bauer-Fike Theorem (Th [5]) can answer this question armatively: there exists a such that (3) j? j j k(v T AV? j I)V T x V k 2 = kv T (Ax V? j x V )k 2 max j j? i j j sin \(V; x j )j: i See Section 4 in [2] for more discussion and analysis for general matrices.

5 Sleijen, van den Eshof, Smit 3 Unfortunately, for the Ritz vectors the situation is less attractive. A small residual, (V T AV? j I)V T x V, is not sucient for the existence of an eigenvector of V T AV that makes a small angle with V T x V if there exist two Ritz values that are close to j. Indeed, Theorem 3 in [6] gives for all Ritz vectors u l : (4) sin 2 \(u l ; x j ) 1 + k(i? V V T )AV V T k 2 2 min i6=l j j? i j 2 sin 2 \(V; x j ) : Since this bound is shar (see Remark 3.4 in [4]) and since there is no guarantee that min i6=j j j? i j is not very small, this bound for \(u; x j ) can become arbitrary large. See also the discussion in Section 5 in [2]. So, this suggests that it is not ossible to give meaningful error bounds for eigenvectors with eigenvalues in the interior of the sectrum using information about \(V; x j ) and the sectrum of A only. Clearly, this might well be a roblem in ractical alications of Rayleigh-Ritz for interior eigenairs. On the other hand, the bound (4) can be used as a good a osteriori estimate when more information about the distribution of the Ritz values is at hand. For the extremal eigenvalues the situation is dierent. We know from Cauchy's Theorem (Theorem in [5]) that j 1? 2 j j 1? 2 j and we can construct an a riori estimate for the rst eigenvector. Doing this using (4) and Cauchy's Theorem gives, unfortunately, a large overestimation, as we will see below. A better aroach for obtaining a true a riori bound is suggested at the end of Section 11.9 in [5]. The starting oint is the well-known bound (see, for examle, Theorem in [5]): (5) sin 2 \(u 1 ; x 1 ) 1? 1 2? 1 : This bound is also shar, which can be easily seen as follows. Take for V the san of u 1 = x 1 cos + x 2 sin and u j = x j+1 for j = 2; : : :; k. It is evident that these vectors are also the Ritz vectors. For this sace V, (5) becomes an equality. In the remainder of this aer we use the notation sin 2 \(V; x 1 ). In Theorem 2.1, bounds in terms of are given for the Ritz value and Ritz vector when aroximating the rst eigenair. Theorem 2.1. (6) (7) 1? 1 ( n? 1 ): sin 2 \(u 1 ; x 1 ) n? 1 2? 1 = 1 + n? 2 2? 1 : Furthermore, inequality (6) is shar. Proof. The minmax roerty for Ritz values (Theorem in [5]) gives that 1 x T V Ax V, where x V is the normalized rojection of x 1 on V. This yields 1? 1 x T V (A? 1I)x V ( n? 1 ) sin 2 \(x V ; x 1 ) = ( n? 1 ) : Equality in this exression is attained by considering the sace V sanned by the vectors u 1 = x 1 1? + x n and u j = x j for j = 2; : : :; k. Note that these u i 's are also the Ritz vectors and u 1 = x V. We may conclude that (6) is shar. The second statement is a combination of (6) and (5). Although (7) is a combination of the shar bounds (6) and (5), there is no guarantee that this bound is shar itself. Since (5) attains equality if u 1 has a comonent in the

6 4 Otimal a riori error bounds for the Rayleigh-Ritz method direction of x 2, while for (6) equality is attained when there is a comonent in the direction of x n, it is suggested that (7) may not be shar. Indeed, in the next section we imrove this bound and construct a shar bound when < 2? 1. Note that (7) is not useful when this condition on is not fullled. Another question that we address is whether V equals 1. This is imortant for the selection roblem, i.e. at some oint, it is necessary to select the Ritz vector that makes the smallest angle with x 1. 3 Shar uer bounds In his PhD thesis [8] and in Technical Reort [7], Smit addressed the roblem of obtaining otimal bounds for the Rayleigh-Ritz rocess. He derived such bounds for the case dim(v) = 2 and generated aroximations for the k dimensional case (k > 2) by numerical exeriments. On the basis of his numerical results, he conjectured that when < 2? 1, the otimal bound for the k dimensional case equals the otimal bound for the 2 dimensional case. In this section we rove that this is indeed correct. For convenience we use the following notation. Let V min sin 2 \(u j ; x 1 ), where the minimum is taken over all Ritz vectors, u j, with resect to V. Put V sin 2 \(V; x 1 ). For > 0 we dene k () maxf V j dim(v) = k; V g: The following lemma is an adation of Theorem 4.1 in [7]. We give a shorter roof and have added the statement that V = 1 in case < 2? 1. Lemma 3.1. If dim(v) = 2 and < 2? 1, then V = 1 < 2. Furthermore, with 2 () = ( (n? 2 ) 2 ( )( 2? 1 ) (1? ) 2? if < 2? 1 ; 1 2 if 2? 1 ; Proof. Let 0 < < 1 be given (the roof for = 0 and = 1 is obvious), and let V be such that sin 2 \(V; x 1 ) =. We derive a shar uer bound for the aroximation to x 1 by the Ritz vectors with resect to V. Because this bound is monotonically increasing this gives an exression for k (). Notice that the Rayleigh-Ritz rocedure is shift invariant and we are allowed to work with A? 1 I. Let (0; x 1 ), ( 1 ; w 1 ) and ( 2 ; w 2 ) be the three Ritz airs of the shifted matrix A? 1 I with resect to the three dimensional subsace sanned by V and x 1, where we have numbered 1 and 2 such that 1 2. The vectors w 1 and w 2 are normalized. It turns out that working with w 1 and w 2 simlies the calculations a bit. We dene for each air (c; s) T on the unit circle a subsace V s as the san of: v (1) s x 1 1? + cw 1 + sw 2 and v (2) s?sw 1 + cw 2 : For some air (c 0 ; s 0 ) T we have that V = V s0. With resect to this basis, the rojected matrix A s Vs T (A? 1 I)V s is given by (c s 2 2 ) sc( 2? 1 ) sc( 2? 1 ) c s 2 1 A s :

7 Sleijen, van den Eshof, Smit 5 Note that if s = 0 or c = 0 the vector x V is a Ritz vector and we can exclude this situation from our analysis. Let u i V s z i, with z i = (t i ; 1) T a scaled eigenvector of the rojected matrix A s. Then (8) t2 i sin 2 \(u i ; x 1 ) = 1? 1 + t 2 i (1? ) = 1 + t2 i 1 + t 2 i = 1 2 (1 + )? 1 2 (1? ) t2 i? 1 t 2 i + 1 : We are interested in the smallest ossible value of maxfjt 1 j; jt 2 jg. It suces to analyze the eigenvectors of A 0 s 1 2 c 2 A s = ( + 2 ) (1? ) (1? ) ; where 1 = 2 and = s=c: The ratio of the coordinates of the equation A 0 s(t; 1) T = 0 (t; 1) T is given by: t( + 2 ) + (1? ) = t 2 (1? ) + t( 2 + 1) : The vector (t; 1) T is an eigenvector of A 0 s if and only if t satises this equation. We investigate the ossible values for t. 1? t 2 t = g() + ; where 1? (1? ) ;? (1? ) : Because < 1 and 1 we have that > 0. We start by giving a roof for > 0. We rst consider the case where > 0, or, equivalently, <. Then g() takes values between 2 and 1. Hence, t takes values between 0 and + 1? and between?1 and?( ). Because z 1? z 2, we know that t 1 =?t?1 2 and it easily follows that there is a t i in each of the two intervals. Dene t 1 to be in the negative interval and note that jt 1 j > jt 2 j. The value jt 1 j = is the smallest ossible value for maxfjt 1 j; jt 2 jg, this gives: s s t 2? 1 t = + 1 = (1? )2 1? (1? ) 2 : Inserting this in (8) gives the exression for k () when < and > 0. Now we show that in case < and > 0, V equals 1. Let (t i ; 1) T be an eigenvector of A s, then the second comonent of the vector A s (t i ; 1) T gives an exression for i : i =? 2 c 2 t i (1? ) : If we recall the signs of t i, we have that 1 < 2 and because jt 1 j > jt 2 j we get that V = 1. If 0, or equivalently, then g() takes all values. Therefore, t can take all values between the same bounds. Consequently, there is a for which t 1 = 1 and t 2 =?1 are solutions.this corresonds to the worst ossible situation. In this case we have two Ritz vectors, u 1 and u 2, that make the same angle with x 1 and sin 2 \(u i ; x 1 ) = 1 (1 + ). 2 In case < 0 the same reasoning can be used. The roof for the exression of k () is concluded by noting that = 2? 1 is the smallest ossible value for and this is the worst situation.

8 6 Otimal a riori error bounds for the Rayleigh-Ritz method Note that the bound (1 + )=2 holds for any orthogonal basis for V. So, in case 2? 1, the Ritz vectors are not guaranteed to contain a better aroximation than, for examle, simly the columns of the matrix V. Now we are ready to give a roof for Conjecture 5.1 in [7]. This conjecture states that, in case < 2? 1, k () = 2 (). So, the exression for k () is given by the exression in Lemma 3.1. Theorem 3.1. If < 2? 1, V = 1 < 2. For all k 2 f2; : : :; n? 1g and all < 2? 1, we have: (9) k () 1 2 (1 + )? 1 2 (1? ) 2? ; with ( n? 2 ) 2 ( n? 1 )( 2? 1 ) : Proof. Assume that V < 2? 1. Then 1 < 2 (see (6)). Consider the sace V 0 sanned by u 1 and x U, where x U is the normalized rojection on U san(u 2 ; : : : ; u k ). Note that u 1 and x U are Ritz vectors with resect to this 2 dimensional sace V 0. Lemma 3.1 states that for this 2 dimensional V 0, the angle between u 1 and x 1 is less than the angle between x U and x 1. Since the angle between x U and x 1 is smaller than the angle between any vector from U and x 1, we may conclude that V = 1. Note that V = V 0 and V = V 0 2, which imlies that k 2. We now show that 2 k. Let dim(v) = 2, then select an orthogonal system v 3 ; : : : ; v k that is orthogonal to u 1, u 2, and Au 1? 1 u 1. Then ( 1 ; u 1 ) is also a Ritz air of the sace V 0 sanned by u 1 ; u 2 ; v 3 ; : : : ; v k. Since 1 < 2, Cauchy's Theorem (Th in [5]) guarantees that the extension does not introduce a Ritz value in [ 1 ; 2 ). As argued above, V = V 0 = 1. Moreover V 0 V. Aarently, V = V 0 k. We have that 2 = k and Lemma 3.1 now gives the exression for k. We recall that the restriction on in Theorem 3.1 in this situation does not make the bounds more restrictive than the bound (7) in the revious section. We mention a few consequences of Theorem 3.1. The Corollaries 3.1 and 3.2 generalize the Corollaries 4.3 and 4.4, resectively, in [7]. The next corollary describes the behavior of the uer bound (9) for small. Corollary 3.1. For all k 2 f2; : : :; n? 1g, we have: k () = ( n? 2 ) 2 (10) + O( 2 ) for! 0 : 4 ( n? 1 )( 2? 1 ) Proof. (1? ) 2? = 1?? O(2 ) for! 0 Inserting this in (9) and using the denition of gives the required exression. Inequality (7) is of a linear form. Using Theorem 3.1 we can imrove this by at most a factor two. Corollary 3.2 gives a linear bound that equals (9) in = 0 and = 2? 1. Note that k () is a convex function in this interval and, hence, this is the best linear bound ossible. Corollary 3.2. For all k 2 f2; : : :; n? 1g and all < 2? 1 (11) k () , we have: n? 2 : 2? 1

9 Sleijen, van den Eshof, Smit (9) (7) (11) (12) (9) (7) (11) (12) ε ε Figure 1: Illustration dierent bounds for 1 = 0, 2 = 1 with n = 1:2 (left icture) and n = 5 (right icture). The next corollary gives an uer bound for k () that better aroximates the otimal bound (9) for small and 1. Corollary 3.3. For all k 2 f2; : : :; n? 1g and all < 2? 1, we have: (12) k () + 2 1? ; with (n? 2 ) 2 ( )( 2? 1 ). Proof. We rewrite the exression for k () in (9) for < 2? 1. k () = (1? (1? 1? ) = + 1 (1? ) ? with = (1? ) 2 : Multilying the nominator en denominator in the second term with 1? and using < (1? ) 2 gives the rst inequality. To give some feeling for the quality of the dierent bounds, we have illustrated in Figure 1 the known bound (7) and the new bounds (9), (11), and (12) for a matrix with 1 = 0, 2 = 1 and two values for n, n = 1:2 and n = 5. The left icture shows that for well conditioned eigenvectors (( n? 1 )=( 2? 1 ) 1), our bounds do not imrove much on the straightforward bound from the last section. In the right icture, the ratio between sread and ga is a little larger and the imrovement is more aarent. Note that the rst two terms of the exansion of k () in (10) rovide a lower bound on k (). This shows that bound (7) at best can be imroved by a factor 4. With resect to the roblem of selection, choosing the smallest Ritz air seems safe and guarantees correct selection asymtotically. 4 Future research: Harmonic Ritz vectors For interior eigenvalues the situation is comlicated, as we argued in Section 2. The goal of this study was to clear the way for studying the more comlicated Harmonic Ritz vectors. The Harmonic Ritz airs are the Ritz airs with resect to the search sace V and test sace (A? I)V. The idea behind this is that, if is the closest

10 8 Otimal a riori error bounds for the Rayleigh-Ritz method eigenvalue to and is simle, only one Harmonic Ritz value can get arbitrary close to. The lack of guaranteed searation of the Ritz values is the reason that there is a roblem with constructing true a riori bounds for Ritz vectors with eigenvalues in the interior of the sectrum. Although, bounds like (4) cannot be used in the context of Harmonic Ritz vectors, ractical observations indeed suggest that there always seems to be a good Harmonic Ritz vector. Understanding this by straightforwardly alying well-known techniques, like in Section 2, seems to give large overestimations. The technique described in Section 3 can also be alied for Harmonic Ritz vectors. However, the comutations become much more involved. Furthermore, extra ideas need to be develoed for selecting the roer Harmonic Ritz vectors. This is the subject of another aer. Acknowledgments The authors thank Jan Brandts for suggestions that heled imrove the resentation of this aer. References [1] Ernest R. Davidson, The iterative calculation of a few of the lowest eigenvalues and corresonding eigenvectors of large real-symmetric matrices, J. Comut. Phys. 17 (1975), 87{94. [2] Zhongxiao Jia and G. W. Stewart, An analysis of the Rayleigh-Ritz method for aroximating eigensaces, Math. Com., osted on February 18, 2000, PII S (00) (to aear in rint). [3] Shmuel Kaniel, Estimates for some comutational techniques in linear algebra, Math. Com. 20 (1966), 369{378. [4] Andrew V. Knyazev, New estimates for Ritz vectors, Math. Com. 66 (1997), no. 219, 985{995. [5] Beresford N. Parlett, The symmetric eigenvalue roblem, Society for Industrial and Alied Mathematics (SIAM), Philadelhia, PA, 1998, Corrected rerint of the 1980 original. [6] Y. Saad, On the rates of convergence of the Lanczos and the block-lanczos methods, SIAM J. Numer. Anal. 17 (1980), no. 5, 687{706. [7] Paul Smit, The aroximation of an eigenvector by Ritzvectors, Technical Reort FEW 684, Center for Economic Research, University of Tilburg, Tilburg, The Netherlands, [8], Numerical analysis of eigenvalue algorithms based on subsace iterations, Ph.D. thesis, Center for Economic Research, Tilburg University, Tilburg, The Netherlands, July 1997.

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