Solving singular generalized eigenvalue problems by a rank-completing perturbation

Abstract

Generalized eigenvalue problems involving a singular pencil are very challenging to solve, both with respect to accuracy and efficiency. The existing package Guptri is very elegant but may sometimes be time-demanding, even for small and medium-sized matrices. We propose a simple method to compute the eigenvalues of singular pencils, based on one perturbation of the original problem of a certain specific rank. For many problems, the method is both fast and robust. This approach may be seen as a welcome alternative to staircase methods.