QR Algorithm Convergence Theorem
Let be a symmetric matrix in tridiagonal form with nonzero subdiagonal entries. The QR algorithm with Wilkinson shift produces a sequence such that the bottom subdiagonal entry satisfies for a constant depending on the eigenvalue gap. In particular, the convergence is globally and at least cubically convergent: the bottom eigenvalue is isolated in steps to achieve accuracy .
Proof Sketch
Setup. Consider the tridiagonal matrix with bottom-right block . The Wilkinson shift is the eigenvalue of this block closer to .
Key estimate. Write and . Then when , and always.
One QR step. After the shifted QR step , , the new subdiagonal entry satisfies where are related to the QR factorization. The Wilkinson shift guarantees that has its smallest singular value at the bottom, causing to be small.
Cubic convergence. For symmetric tridiagonal matrices, Wilkinson proved that using the identity relating the shift quality to the subdiagonal entry. The key insight is that (the shift approximates the eigenvalue quadratically well), and this quadratic approximation combined with the inverse-iteration-like nature of shifted QR yields cubic convergence of .
Global convergence. The monotonicity is non-increasing under QR steps (related to the Wilkinson monotonicity theorem) ensures global convergence. Once is small enough for the cubic estimate to dominate, convergence is rapid.
For an symmetric matrix:
- Tridiagonalization via Householder: flops
- QR iterations with Wilkinson shift: total QR steps (cubic convergence means steps per eigenvalue), each costing , total
- Total: flops for all eigenvalues
For eigenvalues and eigenvectors: (accumulating orthogonal transformations dominates).
For non-symmetric matrices, the QR algorithm (with double shifts) converges in practice but lacks a rigorous global convergence proof. The Hessenberg QR step costs and typically requires total iterations. Exceptional shifts are used when convergence stalls. The total cost is for computing all eigenvalues of a general matrix.