The Lanczos Algorithm Under Few Iterations: Concentration and Location of the Ritz Values

04/12/2019
by   Jorge Garza Vargas, et al.
0

We study the Lanczos algorithm where the initial vector is sampled uniformly from S^n-1. Let A be an n × n Hermitian matrix. We show that when run for few iterations, the output of the algorithm on A is almost deterministic. For instance, we show that there exists c >0 depending only on a certain global property of the spectrum of A (in particular, not depending on n) such that when Lanczos is run for at most c n iterations, the Jacobi coefficients and the Ritz values deviate from their medians by t with probability at most e^-√(n) t^2, for t< A _op. Furthermore, we show that the Lanczos algorithm fails with high probability to identify outliers of the spectrum when run for at most c' n iterations, where again c' depends only on the same global property of the spectrum of A. Classical results imply that the bound c' n is tight up to a constant factor. Our techniques also yield asymptotic results: Suppose we have a sequence of Hermitian matrices A_n ∈ M_n(C) whose spectral distributions converge in Kolmogorov distance with rate O(n^-ε) to a density, for some ε > 0. Then we show that for large enough n, and for k=O(√( n)), the Ritz values after k iterations concentrate around the roots of the kth orthogonal polynomial with respect to the limiting density.

READ FULL TEXT

Please sign up or login with your details

Forgot password? Click here to reset