FAST HESSENBERG REDUCTION OF SOME RANK STRUCTURED MATRICES

Abstract

We develop two fast algorithms for Hessenberg reduction of a structured matrix $A = D + UV^H$, where $D$ is a real or unitary $n imes n$ diagonal matrix and $U, V inmathbb{C}^{n imes k}$. The proposed algorithm for the real case exploits a two-stage approach by first reducing the matrix to a generalized Hessenberg form and then completing the reduction by annihilation of the unwanted subdiagonals. It is shown that the novel method requires $O(n^2k)$ arithmetic operations and is significantly faster than other reduction algorithms for rank structured matrices. The method is then extended to the unitary plus low rank case by using a block analogue of the CMV form of unitary matrices. It is shown that a block Lanczos-type procedure for the block tridiagonalization of $Re(D)$ induces a structured reduction on $A$ in a block staircase CMV-type shape. Then, we present a numerically stable method for performing this reduction using unitary transformations and show how to generalize the subdiagonal elimination to this shape, while still being able to provide a condensed representation for the reduced matrix. In this way the complexity still remains linear in $k$ and, moreover, the resulting algorithm can be adapted to deal efficiently with block companion matrices