An SVD-like matrix decomposition and its applications

A matrix is symplectic if SJS*=J, where Symplectic matrices play an important role in the analysis and numerical solution of matrix problems involving the indefinite inner product x*(iJ)y. In this paper we provide several matrix factorizations related to symplectic matrices. We introduce a singular value-like decomposition B=QDS−1 for any real matrix , where Q is real orthogonal, S is real symplectic, and D is permuted diagonal. We show the relation between this decomposition and the canonical form of real skew-symmetric matrices and a class of Hamiltonian matrices. We also show that if S is symplectic it has the structured singular value decomposition S=UDV*, where U,V are unitary and symplectic, D=diag(Ω,Ω−1) and Ω is positive diagonal. We study the BJBT factorization of real skew-symmetric matrices. The BJBT factorization has the applications in solving the skew-symmetric systems of linear equations, and the eigenvalue problem for skew-symmetric/symmetric pencils. The BJBT factorization is not unique, and in numerical application one requires the factor B with small norm and condition number to improve the numerical stability. By employing the singular value-like decomposition and the singular value decomposition of symplectic matrices we give the general formula for B with minimal norm and condition number.