A Riemannian optimization method to compute the nearest singular pencil
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Given a square pencil A+ λ B, where A and B are complex matrices, we consider the problem of finding the singular pencil nearest to it in the Frobenius distance. This problem is known to be very difficult, and the few algorithms available in the literature can only deal efficiently with pencils of very small size. We show that the problem is equivalent to minimizing a certain objective function over the Riemannian manifold SU(n) × SU(n), where SU(n) denotes the special unitary group. With minor modifications, the same approach extends to the case of finding a nearest singular pencil with a specified minimal index. This novel perspective is based on the generalized Schur form of pencils, and yields a competitive numerical method, by pairing it with an algorithm capable of doing optimization on a Riemannian manifold. We provide numerical experiments that show that the resulting method allows us to deal with pencils of much larger size than alternative techniques, yielding candidate minimizers of comparable or better quality. In the course of our analysis, we also obtain a number of new theoretical results related to the generalized Schur form of a (regular or singular) square pencil and to the minimal index of a singular square pencil whose nullity is 1.
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