Algorithms for the computation of the pseudospectral radius and the numerical radius of a matrix

^** Email: mengi{at}cs.nyu.edu^*** Email: overton{at}cs.nyu.edu Two useful measures of the robust stability of the discrete-timedynamical system x_k+1 = Ax_k are the -pseudospectral radius andthe numerical radius of A. The -pseudospectral radius of A isthe largest of the moduli of the points in the -pseudospectrumof A, while the numerical radius is the largest of the moduliof the points in the field of values. We present globally convergentalgorithms for computing the -pseudospectral radius and thenumerical radius. For the former algorithm, we discuss conditionsunder which it is quadratically convergent and provide a detailedaccuracy analysis giving conditions under which the algorithmis backward stable. The algorithms are inspired by methods ofByers, Boyd–Balakrishnan, He–Watson and Burke–Lewis–Overtonfor related problems and depend on computing eigenvalues ofsymplectic pencils and Hamiltonian matrices.