Sharp error bounds for Ritz vectors and approximate singular vectors

7 May 2019
Yuji Nakatsukasa

We derive sharp bounds for the accuracy of approximate eigenvectors (Ritz vectors) obtained by the Rayleigh-Ritz process for symmetric eigenvalue problems. Using information that is available or easy to estimate, our bounds improve the classical Davis-Kahan sin-theta theorem by a factor that can be arbitrarily large, and can give nontrivial information even when the sin-theta theorem suggests that a Ritz vector might have no accuracy at all. We also present extensions in three directions, deriving error bounds for invariant subspaces, singular vectors and subspaces computed by a (Petrov-Galerkin) projection SVD method, and eigenvectors of self-adjoint operators on a Hilbert space.

  • Numerical Analysis Group Internal Seminar