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A small note on the scaling of symmetric positive definite semiseparable matrices. (English)
Numer. Algorithms 41, No. 3, 319-326 (2006).
Summary: We adapt a known method for diagonal scaling of symmetric positive definite tridiagonal matrices towards the semiseparable case. Based on the fact that a symmetric, positive definite tridiagonal matrix $T$ satisfies property A, one can easily construct a diagonal matrix $\widehat{D}$ such that $\widehat DT\widehat D$ has the lowest condition number over all matrices $DTD$, for any choice of diagonal matrix $D$. Knowing that semiseparable matrices are the inverses of tridiagonal matrices, one can derive similar properties for semiseparable matrices. Here, we construct the optimal diagonal scaling of a semiseparable matrix, based on a new inversion formula for semiseparable matrices. Some numerical experiments are performed. In a first experiment we compare the condition numbers of the semiseparable matrices before and after the scaling. In a second numerical experiment we compare the scalability of matrices coming from the reduction to semiseparable form and matrices coming from the reduction to tridiagonal form.
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