<p>Trigonometric formulas for eigenvalues of <InlineEquation ID="IEq2"> <EquationSource Format="TEX">\(\varvec{3 \times 3}\)</EquationSource> </InlineEquation> matrices that build on Cardano’s and Viète’s work on algebraic solutions of the cubic are numerically unstable for matrices with repeated eigenvalues. This work presents numerically stable, closed-form evaluation of eigenvalues of real, diagonalizable <InlineEquation ID="IEq3"> <EquationSource Format="TEX">\(\varvec{3 \times 3}\)</EquationSource> </InlineEquation> matrices via four invariants: the trace <InlineEquation ID="IEq4"> <EquationSource Format="TEX">\(\varvec{I}_{\varvec{1}}\)</EquationSource> </InlineEquation>, the deviatoric invariants <InlineEquation ID="IEq5"> <EquationSource Format="TEX">\(\varvec{J}_{\varvec{2}}\)</EquationSource> </InlineEquation> and <InlineEquation ID="IEq6"> <EquationSource Format="TEX">\(\varvec{J}_{\varvec{3}}\)</EquationSource> </InlineEquation>, and the discriminant <InlineEquation ID="IEq7"> <EquationSource Format="TEX">\(\varvec{\Delta }\)</EquationSource> </InlineEquation>. We analyze the conditioning of these invariants and derive tight forward error bounds. For <InlineEquation ID="IEq8"> <EquationSource Format="TEX">\(\varvec{J}_{\varvec{2}}\)</EquationSource> </InlineEquation> we propose an algorithm and prove its accuracy. We benchmark all invariants and the resulting eigenvalue formulas, relating observed forward errors to the derived bounds. In particular, we show that, for the special case of matrices with a well-conditioned eigenbasis, the newly proposed algorithms have errors within the forward stability bounds. Performance benchmarks show that the proposed algorithm is approximately ten times faster than the highly optimized LAPACK library for a challenging test case, while maintaining comparable accuracy.</p>

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Numerically stable evaluation of closed-form expressions for eigenvalues of \(3 \times 3\) matrices

  • Michal Habera,
  • Andreas Zilian

摘要

Trigonometric formulas for eigenvalues of \(\varvec{3 \times 3}\) matrices that build on Cardano’s and Viète’s work on algebraic solutions of the cubic are numerically unstable for matrices with repeated eigenvalues. This work presents numerically stable, closed-form evaluation of eigenvalues of real, diagonalizable \(\varvec{3 \times 3}\) matrices via four invariants: the trace \(\varvec{I}_{\varvec{1}}\) , the deviatoric invariants \(\varvec{J}_{\varvec{2}}\) and \(\varvec{J}_{\varvec{3}}\) , and the discriminant \(\varvec{\Delta }\) . We analyze the conditioning of these invariants and derive tight forward error bounds. For \(\varvec{J}_{\varvec{2}}\) we propose an algorithm and prove its accuracy. We benchmark all invariants and the resulting eigenvalue formulas, relating observed forward errors to the derived bounds. In particular, we show that, for the special case of matrices with a well-conditioned eigenbasis, the newly proposed algorithms have errors within the forward stability bounds. Performance benchmarks show that the proposed algorithm is approximately ten times faster than the highly optimized LAPACK library for a challenging test case, while maintaining comparable accuracy.