Constructing a Unitary Hessenberg Matrix from Spectral Data

Gregory Ammar1 , William Gragg2, Lothar Reichel3

In memory of Peter Henrici

Abstract
We consider the numerical construction of a unitary Hessenberg matrix from spectral data using
an inverse QR algorithm. Any unitary upper Hessenberg matrix H with nonnegative subdiagonal
elements can be represented by 2n 1 real parameters. This representation, which we refer to as
the Schur parameterization of H; facilitates the development of ecient algorithms for this class of
matrices. We show that a unitary upper Hessenberg matrix H with positive subdiagonal elements
is determined by its eigenvalues and the eigenvalues of a rank-one unitary perturbation of H: The
eigenvalues of the perturbation strictly interlace the eigenvalues of H on the unit circle.
AMS(MOS) Subject Classication: 15A18, 65F15.
Keywords: inverse eigenvalue problem, unitary matrix, orthogonal polynomial.

Presented at the NATO Advanced Study Institute on Numerical Linear Algebra, Digital Signal
Processing, and Parallel Algorithms, Leuven, Belgium, August, 1988. This research was supported
in part by the National Science Foundation under grant DMS-8704196, and by the Foundation
Research Program of the Naval Postgraduate School.
This paper appears in: Numerical Linear Algebra, Digital Signal Processing and Parallel Algorithms, G.H. Golub and P. Van Dooren, eds., NATO ASI Series, Vol. F70, Springer-Verlag, Berlin,
1991, pp. 385{395.
Minor corrections incorporated, October 1993.

1
2

Northern Illinois University, Department of Mathematical Sciences, DeKalb, IL 60115, USA

Naval Postgraduate School, Department of Mathematics, Monterey, CA 93943, USA, on leave from
University of Kentucky, Department of Mathematics, Lexington, KY 40506, USA
Bergen Scientic Centre IBM, Allegaten 36, N-5007 Bergen, Norway, on leave from University of
Kentucky, Department of Mathematics, Lexington, KY 40506, USA
1

1. Introduction

In this paper we focus on an inverse eigenvalue problem for unitary Hessenberg matrices with positive subdiagonal elements. Throughout this paper all Hessenberg matrices are upper Hessenberg
matrices. This class of matrices bears many similarities with the class of Jacobi matrices, i.e. real
symmetric tridiagonal matrices with positive subdiagonal elements. Any matrix in either class is
normal and has distinct eigenvalues. Both n  n Jacobi matrices and n  n unitary Hessenberg
matrices with positive subdiagonal elements can be parameterized by 2n 1 real parameters. This
is obvious for Jacobi matrices; for unitary Hessenberg matrices this parameterization is described
below. Since unitary Hessenberg matrices with positive subdiagonal elements are determined by
O(n) parameters, one can develop ecient algorithms for this class of matrices. These algorithms
are analogous with algorithms for Jacobi matrices. For example, the unitary QR algorithm, described in [Gr2], has many similarities with the QR algorithm for Jacobi matrices. Another example
is provided by the divide-and-conquer methods that have been developed for both the tridiagonal
and unitary eigenproblems [Cu], [DS], [GR1], [GR2].
In this paper we show another analogy of unitary Hessenberg matrices with Jacobi matrices, namely,
that a unitary Hessenberg matrix H with positive subdiagonal elements is uniquely determined
by its eigenvalues and the eigenvalues of a unitary rank-one perturbation of H . The matrix H
can be constructed using O(n2 ) arithmetic operations using an inverse unitary QR algorithm.
Similar results for Jacobi matrices are well-established [BG1], [BG2], [GH]. The inverse unitary QR
algorithm is analogous with the algorithm described in [GH] for Jacobi matrices.

2. Unitary Hessenberg Matrices and Szego Polynomials

We refer to a nite Schur parameter sequence of length n as a sequence of complex numbers f j gnj=1
with j j j <p1 for 1  j < n and j nj = 1. Also dene the complementary Schur parameters fj gnj =11
by j := 1 j j j2 . Associated with the nite Schur parameter sequence fj gnj=1 is a unitary
Hessenberg matrix H with positive subdiagonal elements

H = H ( 1; : : :; n 1; n) := G1 ( 1)G2 ( 2 ) : : :Gn 1 ( n 1)G~ n( n);

(2:1)

where the Givens re ector Gj ( j ) is the identity matrix of appropriate size except for the 2  2
principal submatrix
#
"
# "
1
j j
Gj jj jj +
+ 1 =   ;
j

with the bar denoting complex conjugation. The matrix on the right in the product (2.1) is dened
by G~ n( n) := diag[1; 1; : : :; 1; n]. The nonzero entries of H = [j;k ]nj;k=1 are then given by
j +1;j := j and j;k := j 1 j j +1 : : :k 1 k for 1  j  k, where 0 := 1.
It is easy to see that every n  n unitary Hessenberg matrix H = [j;k ]nj;k=1 with j +1;j > 0 is
uniquely determined by a nite Schur parameter sequence of length n. In fact, the Schur parameters
f j gnj=1 and the complementary Schur parameters fj gnj=11 can be determined from H by

j = j +1;j ;

1  j < n;

j = 1;j =1 2


j 1 ;

1  j  n:

Hence, we have a one-to-one correspondence between Schur parameter sequences of length n and
n  n unitary Hessenberg matrices with positive subdiagonal elements. This Schur parameterization
of unitary Hessenberg matrices with positive subdiagonal elements shows that these matrices are
determined by 2n 1 real parameters: the real and imaginary parts of j for 1  j < n, and the
2

argument of n. To avoid numerical instability, however, we also retain the complementary Schur
parameters.
Let H = Hn := H ( 1; : : :; n 1; n), and let Hk := G1 ( 1 )G2 ( 2) : : :Gk 1 ( k 1 )G~ k ( k ) be the
leading principal submatrix of H = Hn of order k. Introduce the functions

k () := eT1 (I Hk ) 1 e1 ;

k () := det(I Hk );
k () := det(I Hk00 1 );
where e1 := [1; 0; : : :; 0]T , and Hk00 1 denotes the trailing principal submatrix of Hk of order k 1.
Thus, k () = k ()= k (). The following proposition can be veried by induction.
Proposition 2.1. The polynomials k () and k (), k > 0, satisfy
"

"

 k
k () k ()
~k () ~k () = k  1

#"

# "

"

1 1=
0 ()
0 ()
k 1 () k 1 ()
~k 1 () ~k 1 () ; ~0 () ~0 () = 1 0 :

It follows that for each k, the polynomials ~k () := k k (1=) are obtained by reversing and
conjugating the coecients of k (). From the initial conditions we recognize k () to be the kth
Szego polynomial determined by the Schur parameter sequence f j gnj=1 :
The Szego polynomials f k gnk=0 are orthogonal with respect to a discrete measure on the unit
circle. This measure assigns a positive weight !k to each zero k of n(). These weights are the
numerators in the partial fraction decomposition

n () =:

n
X

!k ;
k=1  k

see [Gr1] for details.

Let H = U U , with  = diag[1; 2; : : :; n] and U unitary, be the spectral resolution of
H = H ( 1; : : :; n 1; n), where  denotes transposition and complex conjugation. Let u := U T e1
be the vector containing the rst components of the eigenvectors of H . Since H has nonzero subdiagonal elements, every entry of u = [1; 2; : : :; n]T is nonzero, and we normalize U so that each
k > 0. Then
n 2
X
k :
n() = u(I ) 1 u =
k=1 

k

P
Hence, the weights !k = k2 are guaranteed to be positive, and nk=1 !k = 1.

3. The Inverse Unitary QR Algorithm

Given n distinct unimodular complex numbers fk gnk=1 and associated positive weights fk2gnk=1 ,
we can construct a unitary Hessenberg matrix H with the k and k equal to the eigenvalues and
rst components of the corresponding eigenvectors of H , respectively. This construction is achieved
using an inverse QR algorithm, which is analogous with the procedure of [GH] for real symmetric
tridiagonal matrices.
The required Hessenberg matrix is obtained byperforming
a sequence of elementary
unitary


 simi

larity transformations to transform the matrix u u to a Hessenberg matrix e eH1 without
1

using or changing the arbitrary entry  . Then H = H ( 1; : : :; n 1; n) has the desired eigenvalues
and associated eigenvectors.
The idea is to build the Hessenberg matrix by adding weight-abscissa pairs one at a time. Suppose
that we have constructed the unitary Hessenberg matrix Hm := H ( 1; : : :; m P
1 ; m ), for some
m
m < n, corresponding with the weight-abscissa pairs f(!k ; k)gk=1. Let 0 := ( mk=1 !k )1=2 and
assume that the rst components of the eigenvectors of Hm are f(k =0 )gm
k=1 . In order to add the
weight-abscissa pair ( 2; ) and construct the corresponding (m + 1)  (m + 1) unitary Hessenberg
matrix Hm0 +1 := H (01 ; 02; : : :; 0m+1 ), we perform a sequence of unitary similarity transformations
to put the (m + 2)  (m + 2) matrix
2

  0


6
2
3 6
  0 e1
   
6 0
6
(1)

~
4
5
   
H :=   0 = 66
0 e1 0 Hm
  
6
4
 

p

3
7

 777
7
 775



into Hessenberg form without changing  . Let 00 := 02 +  2 and 0 := =00 . Then
2

3
  0
0
6 0       7
6
7
6 0      7
6
G2 (0 )H~ (1) =: H~ (2) = 66
     777
    75
6
4
  
 
is a Hessenberg matrix with a trailing principal (m + 1)  (m + 1) submatrix, which is both unitary
and of Hessenberg form. On the completion of the similarity transformation of H~ (1) , we obtain
3
2  0
0
6 00       7
6
      777
6
6
(3:1)
H~ (2)G2 (0) = 66

     77 :




7
6
4
  5
 

The circled element in (3.1) forms a \bulge", which is to be chased down along the subdiagonal in
order to obtain a matrix of Hessenberg form. Dene G3 (1 ) so that G3 (1 )H~ (2) G2 (0 ) =: H~ (3) is
a Hessenberg matrix. Then H~ (3) G3 (1 ) has a bulge, which we annihilate by multiplying from the
left with G4 (2 ). Proceeding in this manner, we ultimately chase the bulge o the bottom of the
matrix, and obtain the Hessenberg matrix H~ (m 1) Gm 1 ( m 3 ), which is unitarily similar to H~ (1) .
The trailing principal (m + 1)  (m + 1) submatrix of H~ (m 1) Gm 1 ( m 3 ) is unitarily similar to
a unitary Hessenberg matrix with positive subdiagonal elements. The latter matrix is the desired
Hessenberg matrix Hm0 +1 = H ( 10 ; 20 ; : : :; m0 +1).
This procedure for adding a weight-abscissa pair to Hm , if implemented by directly manipulating the
elements of the matrices H~ (k) , for 1  k < m, would require O(m2 ) arithmetic operations. However,
4

we note that for each k the trailing (m+1)(m+1) principal submatrix of H~ (k) is unitary and of Hes)
,
senberg form, and, therefore, is unitarily similar to a unitary Hessenberg matrix, denoted by H^ m(k+1
with positive subdiagonal elements. Hence, we can carry out the similarity transformations by ma+2)
nipulating the Schur parameters of the matrices H^ m(k+1
= H ( 10 ; 20 ; : : :; k0 ;  k k ; k+1; : : :; m ).
This gives rise to a method that requires only O(m) arithmetic operations in order to add a weightabscissa pair to Hm . We refer to this method as the inverse unitary QR algorithm because of its
relationship with the unitary QR algorithm presented in [Gr2].
Inverse Unitary QR Algorithm: adding a weight-abscissa pair (2; ), where jj = 1;  > 0.
p
00 := 02 +  2;
0 := =00 ; 0 := 0=00 ;
for k := 1; 2; : : :; m
6
q
6 0
6 k := k 1 k2 + jk 1 + k k 2 
 k 1 j2 ;
6
6
6 k := k 1 (k 1 + k k 2 k 1 )=k0 ;
6
6  :=   = 0 ;
k 1 k k
4 k
0
k := k2 1 k  k 22k 1 ;
m0 +1 :=  m;
Thus, the inverse unitary QR algorithm can be used to construct the unitary n  n Hessenberg
matrix H = H ( 1; : : :; n 1; n) from its eigenvalues and the rst components of its normalized
eigenvectors in O(n2 ) arithmetic operations.

4. An Inverse Spectral Problem

n
X
Let H = H ( 1; : : :; n 1; n) and n() = n (()) =  !k . Let  := ei for some 0 <  < 2 ,
n
k
k=1
and consider the polynomials
k () := (1 )k () +  k (); 0  k  n:
(4:1)
Proposition 4.1. The polynomials fk ()gnk=0 are the monic Szego polynomials corresponding
with the Schur sequence f k gnk=1 .
Proof. The denition (4.1) and Proposition 2.1 yield

 

 
  
k () =  k k 1 () ; 0 () = 1 ;
k ()
k  1 k 1 () 0 ()

where k () := (1 )~k () +  ~k (). On setting ~k () = k (), we obtain


k () =   k
~k ()
 k  1



 

 

k 1 () 0 ()
1
~k 1 () ; ~0 () = 1 :

An immediate consequence of Proposition 4.1 is that each zero of n () has unit modulus. When
 = 1 the polynomials fk ()gnk=0 are known as the Szego polynomials of the second kind
corresponding with f k gnk=1 .
5

Proposition 4.2. TheQzeros

fk gnk of n() strictly interlace the zeros fk gnk of n() on the
n
=0

=0

unit circle. Moreover, k=1 (k =k ) = .

Proof. Let  := ei for some 0   < 2 , and let  =: ei for some 0 <  < 2 . Then
n
X
k
n () := n (()) = !k  

n
k
k=1
n


X
= ! 1 k + (1 k )
k

j k j
i=

= 2 ei= !k Re(e j (1 j k )) :
k
k
Thus, Im(e i= n(ei ))  0 for 0   < 2 . Let k =: ei . We may assume that 0   <  <



< n < 2. Then
n
X
i=
i
e
n (e ) = 2 !k cos(=2) cos(=2 + k )
(1 cos(k )) + sin (k )
k
n
X
k ) + sin(=2) sin(k )
= !k cos(=2) cos(=2)1cos(cos(
k )
k
k=1
n
X

=1

=1

=1

n
X
k=1

!k (cos(=2) + sin(=2)cot((k )=2)) :

From 0 <  < 2 and !k > 0 for all k, it follows that

n
X
1
i=
2 d
2
i
e
d n(e ) = 2 sin(=2) k=1 !k = sin ((k )=2) > 0 for  6= k ; 1  k  n:

Thus, n (ei ) ! 1 as  & k , and n (ei ) ! 1 as  % k+1 . This shows that  ! n (ei ) has
precisely one zero in ]k ; k+1 [. Consequently, the zeros j of n () strictly interlace the j on the
unit circle. The second statement of the Proposition follows from the fact that n (0)= n(0) = :
P
Let k =: eik and k =: eik for 0  k ; k < 2 . Then we have nk=1 (k k ) =  . We may
assume that the arguments have been ordered so that
0  1 < 1 < 2 <


< n 1 < n < n < 1 + 2:
(4:2)
Proposition 4.3. With the above notation, and the ordering (4.2), the weights !k are given by
n
Q

sin((j k )=2)
1
j =1
:
!k = sin(=2) Qn
sin((j k )=2)
j =1
j 6=k

Proof. We have

(1 )k !k = lim
( k ) n (()) = n0 ((k )) =
!
n
n k
k

n
Q

(k j )

j =1
n
Q
j =1
j 6=k

(k j )

since n () and n() are monic. Thus,

n
Q

(1 )!k = e

ik j =1
n
Q
j =1
j 6=k

(eik eij )
(eik

eij )

n
Q

(1 ei(j k ) )

=1
= jQ
n

j =1
j 6=k

(1

ei(j k ) )

n
Q
=1
= 2iei=2 jQ
n

j =1
j 6=k

sin((j k )=2)
sin((j k )=2)

; (4:3)

because

1 ei = 2iei=2 sin(=2);

(4:4)
P
and nj=1 (j j ) =  . The formula for the weights now follows by substituting (4.4) with  := 
into (4.3).
We can now state the inverse spectral problem and its solution.
Problem: Given two sets of n mutually interlacing points on the unit circle fkgnk=1 and fk gnk=1,
determine the unique unitary Hessenberg matrix H = H ( 1; : : :; n 1; n) and jj = 1 such that
the spectrum of H is fk gnk=1 and the spectrum of H ( 1; : : :;  n 1;  n) is fk gnk=1 .
Solution: Let  := Qnk=1 (k =k ), calculate the weights by Proposition 4.3, and use the inverse
unitary QR algorithm to construct H = H ( 1; : : :; n 1; n).

References

[BG1] D. Boley and G.H. Golub, Inverse Eigenvalue Problems for Band Matrices, in Lecture Notes
in Mathematics 630, Numerical Analysis, Proceedings of the Biennial Conference Held at
Dundee, 1977, G.A. Watson, ed., Springer-Verlag, New York, 1978, pp. 23-31.
[BG2] D. Boley and G.H. Golub, A Survey of Matrix Inverse Eigenvalue Problems, Inverse Problems
3, (1987) 595-622.
[Cu] J.J.M. Cuppen, A Divide and Conquer Method for the Symmetric Tridiagonal Eigenproblem,
Numer. Math. 36, (1981) 177-195.
[DS] J.J. Dongarra and D.C. Sorensen, A Fully Parallel Algorithm for the Symmetric Eigenproblem,
SIAM J. Sci. Stat. Comput. 8, (1987) s139-s154.
[Gr1] W.B. Gragg, Positive Denite Toeplitz Matrices, the Arnoldi Process for Isometric Operators,
and Gaussian Quadrature on the Unit Circle (in Russian), in Numerical Methods in Linear
Algebra, E.S. Nikolaev, ed., Moscow University Press, Moscow, 1982, pp. 16-32.
[Gr2] W.B. Gragg, The QR Algorithm for Unitary Hessenberg Matrices, J. Comput. Appl. Math.
16, (1986) 1-8.
[GH] W.B. Gragg and W.J. Harrod, The Numerically Stable Reconstruction of Jacobi Matrices
from Spectral Data, Numer. Math. 44, (1984) 317-355.
[GR1] W.B. Gragg and L. Reichel, A Divide and Conquer Algorithm for the Unitary Eigenproblem,
in Hypercube Multiprocessors 1987, M.T. Heath, ed., SIAM, Philadelphia, 1987, pp. 639-647.
[GR2] W.B. Gragg and L. Reichel, A Divide and Conquer Method for the Unitary and Orthogonal
Eigenproblems, BSC Report 88/31, Bergen Scientic Centre, Bergen, 1988.