Global Convergence of Hessenberg Shifted QR II: Numerical Stability (2205.06810v1)

Abstract: We develop a framework for proving rapid convergence of shifted QR algorithms which use Ritz values as shifts, in finite arithmetic. Our key contribution is a dichotomy result which addresses the known forward-instability issues surrounding the shifted QR iteration [Parlett and Le 1993]: we give a procedure which provably either computes a set of approximate Ritz values of a Hessenberg matrix with good forward stability properties, or leads to early decoupling of the matrix via a small number of QR steps. Using this framework, we show that the shifting strategy introduced in Part I of this series [Banks, Garza-Vargas, and Srivastava 2021] converges rapidly in finite arithmetic with a polylogarithmic bound on the number of bits of precision required, when invoked on matrices of controlled eigenvector condition number and minimum eigenvalue gap.