Error analysis of QR algorithms for computing Lyapunov exponents
McDonald, E.J. and Higham, D.J. (2001) Error analysis of QR algorithms for computing Lyapunov exponents. Electronic Transactions on Numerical Analysis, 12. pp. 234251. ISSN 10689613

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Abstract
Lyapunov exponents give valuable information about long term dynamics. The discrete and continuous QR algorithms are widely used numerical techniques for computing approximate Lyapunov exponents, although they are not yet supported by a general error analysis. Here, a rigorous convergence theory is developed for both the discrete and continuous QR algorithm applied to a constant coefficient linear system with real distinct eigenvalues. For the discrete QR algorithm, the problem essentially reduces to one of linear algebra for which the timestepping and linear algebra errors uncouple and precise convergence rates are obtained. For the continuous QR algorithm, the stability, rather than the local accuracy, of the timestepping algorithm is relevant, and hence the overall convergence rate is independent of the stepsize. In this case it is vital to use a timestepping method that preserves orthogonality in the ODE system. We give numerical results to illustrate the analysis. Further numerical experiments and a heuristic argument suggest that the convergence properties carry through to the case of complex conjugate eigenvalue pairs.
Item type:  Article 

ID code:  173 
Keywords:  dynamics, eigenvalues, orthogonal iteration, timestepping, computer science, applied mathematics, Electronic computers. Computer science, Mathematics, Analysis 
Subjects:  Science > Mathematics > Electronic computers. Computer science Science > Mathematics 
Department:  Faculty of Science > Mathematics and Statistics Faculty of Science > Mathematics and Statistics > Mathematics 
Depositing user:  Ms Sarah Scott 
Date Deposited:  03 Mar 2006 
Last modified:  29 Apr 2016 13:13 
URI:  http://strathprints.strath.ac.uk/id/eprint/173 