A new version of Kovarik’s approximate orthogonalization algorithm without matrix inversion

Abstract

In 1970 Kovarik proposed approximate orthogonalization algorithms. One of them (algorithm B) has quadratic convergence but requires at each iteration the inversion of a matrix of similar dimension to the initial one. An attempt to overcome this difficulty was made by replacing the inverse with a finite Neumann series expansion involving the original matrix and its adjoint. Unfortunately, this new algorithm loses the quadratic convergence and requires a large number of terms in the Neumann series which results in a dramatic increase in the computational effort per iteration. In this paper we propose a much simpler algorithm which, by using only the first two terms in a different series expansion, gives us the desired result with linear convergence. Systematic numerical experiments for collocation and Toeplitz matrices are also described.

Keywords:

• Rectangular matrices
• Approximate orthogonalization
• Integral equations of the first kind
• Collocation
• Toeplitz matrices