Givens method

Primary authors of this description: A.V.Frolov, Vad.V.Voevodin (Section 2.2)

1 Properties and structure of the algorithm[edit]

1.1 General description of the algorithm

Givens' method (which is also called the rotation method in the Russian mathematical literature) is used to represent a matrix in the form $A = QR$, where $Q$ is a unitary and $R$ is an upper triangular matrix. The matrix $Q$ is not stored and used in its explicit form but rather as the product of rotations. Each (Givens) rotation can be specified by a pair of indices and a single parameter.

In a conventional implementation of Givens' method, this fact makes it possible to avoid using additional arrays by storing the results of decomposition in the array originally occupied by $A$. Various uses are possible for the $QR$ decomposition of $A$. It can be used for solving a SLAE (System of Linear Algebraic Equations) $Ax = b$ or as a step in the so-called $QR$ algorithm for finding the eigenvalues of a matrix.

At each step of Givens' method, two rows of the matrix under transformation are rotated. The parameter of this transformation is chosen so as to eliminate one of the entries in the current matrix. First, the entries in the first column are eliminated one after the other, then the same is done for the second column, etc., until the column $n-1$. The resulting matrix is $R$. The step of the method is split into two parts: the choice of the rotation parameter and the rotation itself performed over two rows of the current matrix. The entries of these rows located to the left of the pivot column are zero; thus, no modifications are needed there. The entries in the pivot column are rotated simultaneously with the choice of the rotation parameter. Hence, the second part of the step consists in rotating two-dimensional vectors formed of the entries of the rotated rows that are located to the right of the pivot column. In terms of operations, the update of a column is equivalent to multiplying two complex numbers (or to four multiplications, one addition and one subtraction for real numbers); one of these complex numbers is of modulus 1. The choice of the rotation parameter from the two entries of the pivot column is a more complicated procedure, which is explained, in particular, by the necessity of minimizing roundoff errors. The tangent [math]t[/math] of half the rotation angle is normally used to store information about the rotation matrix. The cosine [math]c[/math] and the sine [math]s[/math] of the rotation angle itself are related to [math]t[/math] via the simple formulas (the so-called combat formulas of trigonometry)

[math]c = (1 - t^2)/(1 + t^2), s = 2t/(1 + t^2)[/math]

It is the value [math]t[/math] that is usually stored in the corresponding array entry.

1.2 Mathematical description of the algorithm

In order to obtain the [math]QR[/math] decomposition of a square matrix [math]A[/math], this matrix is reduced to the upper triangular matrix [math]R[/math] (where [math]R[/math] means right) by successively multiplying [math]A[/math] on the left by the rotations [math]T_{1 2}, T_{1 3}, ..., T_{1 n}, T_{2 3}, T_{2 4}, ..., T_{2 n}, ... , T_{n-2 n}, T_{n-1 n}[/math].

Each [math]T_{i j}[/math] specifies a rotation in the two-dimensional subspace determined by the [math]i[/math]-th and [math]j[/math]-th components of the corresponding column; all the other components are not changed. The rotation is chosen so as to eliminate the entry in the position ([math]i[/math], [math]j[/math]). Zero vectors do not change under rotations and identity transformations; therefore, the subsequent rotations preserve zeros that were earlier obtained to the left and above the entry under elimination.

At the end of the process, we obtain [math]R=T_{n-1 n}T_{n-2 n}T_{n-2 n-1}...T_{1 3}T_{1 2}A[/math].

Since rotations are unitary matrices, we naturally have [math]Q=(T_{n-1 n}T_{n-2 n}T_{n-2 n-1}...T_{1 3}T_{1 2})^* =T_{1 2}^* T_{1 3}^* ...T_{1 n}^* T_{2 3}^* T_{2 4}^* ...T_{2 n}^* ...T_{n-2 n}^* T_{n-1 n}^*[/math] and [math]A=QR[/math].

In the real case, rotations are orthogonal matrices; hence, [math]Q=(T_{n-1 n}T_{n-2 n}T_{n-2 n-1}...T_{1 3}T_{1 2})^T =T_{1 2}^T T_{1 3}^T ...T_{1 n}^T T_{2 3}^T T_{2 4}^T ...T_{2 n}^T ...T_{n-2 n}^T T_{n-1 n}^T[/math].

To complete this mathematical description, it remains to specify how the rotation [math]T_{i j}[/math] is calculated and list the formulas for rotating the current intermediate matrix.

Let the matrix to be transformed contain the number [math]x[/math] in its position [math](i,i)[/math] and the number [math]y[/math] in the position [math](i,j)[/math]. Then, to minimize roundoff errors, we first calculate the uniform norm of the vector [math]z = max (|x|,|y|)[/math].

If the norm is zero, then no rotation is required: [math]t=s=0, c=1[/math].

If [math]z=|x|[/math], then we calculate [math]y_1=y/x[/math] and, next, [math]c = \frac {1}{\sqrt{1+y_1^2}}[/math], [math]s=-c y_1[/math], [math]t=\frac {1-\sqrt{1+y_1^2}}{y_1}[/math]. The updated value of the entry [math](i,i)[/math] is [math]x \sqrt{1+y_1^2}[/math].

If [math]z=|y|[/math], then we calculate [math]x_1=x/y[/math] and, next, [math]t=x_1 - x_1^2 sign(x_1)[/math], [math]s=\frac{sign(x_1)}{\sqrt{1+x_1^2}}[/math], [math]c = s x_1[/math]. The updated value of the entry [math](i,i)[/math] is [math]y \sqrt{1+x_1^2} sign(x)[/math].

Let the parameters [math]c[/math] and [math]s[/math] of the rotation [math]T_{i j}[/math] have already been obtained. Then the transformation of each column located to the right of the [math]i[/math]-th column can be described in a simple way. Let the [math]k[/math]-th column have x as its component [math]i[/math] and y as its component [math]j[/math]. The updated values of these components are [math]cx - sy[/math] and [math]sx + cy[/math], respectively. This calculation is equivalent to multiplying the complex number with the real part [math]x[/math] and the imaginary part [math]y[/math] by the complex number [math](c,s)[/math].

1.3 Computational kernel of the algorithm

The computational kernel of this algorithm can be thought of as compiled of two types of operation. The first type concerns the calculation of rotation parameters, while the second deals with the rotation itself (which can equivalently be described as the multiplication of two complex numbers with one of the factors having the modulus 1).

1.4 Macro structure of the algorithm

The operations related to the calculation of rotation parameters can be represented by a triangle on a two-dimensional grid, while the rotation itself can be represented by a pyramid on a three-dimensional grid.

1.5 Implementation scheme of the serial algorithm

In a conventional implementation scheme, the algorithm is written as the successive elimination of the subdiagonal entries of a matrix beginning from its first column and ending with the penultimate column (that is, column n-1). When the i-th column is "eliminated", then its components i+1 to n are successively eliminated.

The elimination of the entry (j, i) consists of two steps: (a) calculating the parameters for the rotation [math]T_{ij}[/math] that eliminates the entry (j, i); (b) multiplying the current matrix on the left by the rotation [math]T_{ij}[/math].

1.6 Serial complexity of the algorithm

The complexity of the serial version of this algorithm is basically determined by the mass rotation operations. If possible sparsity of a matrix is ignored, these operations are responsible (in the principal term) for [math]n^3/3[/math] complex multiplications. In a straightforward complex arithmetic, this is equivalent to [math]4n^3/3[/math] real multiplications and [math]2n^3/3[/math] real additions/subtractions.

Thus, in terms of serial complexity, Givens' method is qualified as a cubic complexity algorithm.

Информационный граф

Макрограф алгоритма изображён на рисунке 1, графы макровершин - на последующих.