GR decompositions and their relations to Cholesky‐like factorizations

Abstract

AbstractFor a given matrix, we are interested in computing GR decompositions A = GR, where G is an isometry with respect to given scalar products. The orthogonal QR decomposition is the representative for the Euclidian scalar product. For a signature matrix, a respective factorization is given as the hyperbolic QR decomposition. Considering a skew‐symmetric matrix leads to the symplectic QR decomposition. The standard approach for computing GR decompositions is based on the successive elimination of subdiagonal matrix entries. For the hyperbolic and symplectic case, this approach does in general not lead to a satisfying numerical accuracy. An alternative approach computes the QR decomposition via a Cholesky factorization, but also has bad stability. It is improved by repeating the procedure a second time. In the same way, the hyperbolic and the symplectic QR decomposition are related to the LDLT and a skew‐symmetric Cholesky‐like factorization. We show that methods exploiting this connection can provide better numerical stability than elimination‐based approaches.