Computing the Kreiss Constant of a Matrix

Abstract

We establish the first globally convergent algorithms for computing the Kreiss constant of a matrix to arbitrary accuracy. We propose three different iterations for continuous-time Kreiss constants and analogues for discrete-time Kreiss constants. With standard eigensolvers, the methods do $\mathcal{O}(n^6)$ work, but we show how this theoretical work complexity can be lowered to $\mathcal{O}(n^4)$ on average and $\mathcal{O}(n^5)$ in the worst case via divide-and-conquer variants. Finally, locally optimal Kreiss constant approximations can be efficiently obtained for large-scale matrices via optimization.

Second revision plus a few math typos fixed