A divide and conquer method for unitary and orthogonal eigenproblems

Summary LetH ^{n xn} be a unitary upper Hessenberg matrix whose eigenvalues, and possibly also eigenvectors, are to be determined. We describe how this eigenproblem can be solved by a divide and conquer method, in which the matrixH is split into two smaller unitary upper Hessenberg matricesH ₁ andH ₂ by a rank-one modification ofH. The eigenproblems forH ₁ andH ₂ can be solved independently, and the solutions of these smaller eigenproblems define a rational function, whose zeros on the unit circle are the eigenvalues ofH. The eigenvector ofH can be determined from the eigenvalues ofH and the eigenvectors ofH ₁ andH ₂. The outlined splitting of unitary upper Hessenberg matrices into smaller such matrices is carried out recursively. This gives rise to a divide and conquer method that is suitable for implementation on a parallel computer.WhenH ^{n xn} is orthogonal, the divide and conquer scheme simplifies and is described separately. Our interest in the orthogonal eigenproblem stems from applications in signal processing. Numerical examples for the orthogonal eigenproblem conclude the paper.Research supported in part by the NSF under Grant DMS-8704196 and by funds administered by the Naval Postgraduate School Research Council