The Joint Bidiagonalization of a Matrix Pair with Inaccurate Inner Iterations

SIAM Journal on Matrix Analysis and Applications, Volume 45, Issue 1, Page 232-259, March 2024.
Abstract. The joint bidiagonalization (JBD) process iteratively reduces a matrix pair [math] to two bidiagonal forms simultaneously, which can be used for computing a partial generalized singular value decomposition (GSVD) of [math]. The process has a nested inner-outer iteration structure, where the inner iteration usually cannot be computed exactly. In this paper, we study the inaccurately computed inner iterations of JBD by first investigating the influence of computational error of the inner iteration on the outer iteration, and then proposing a reorthogonalized JBD (rJBD) process to keep orthogonality of a part of Lanczos vectors. An error analysis of the rJBD is carried out to build up connections with Lanczos bidiagonalizations. The results are then used to investigate convergence and accuracy of the rJBD based GSVD computation. It is shown that the accuracy of computed GSVD components depends on the computing accuracy of inner iterations and the condition number of [math], while the convergence rate is not affected very much. For practical JBD based GSVD computations, our results can provide a guideline for choosing a proper computing accuracy of inner iterations in order to obtain approximate GSVD components with a desired accuracy. Numerical experiments are made to confirm our theoretical results.