14.12 Hessenberg-Triangular Decomposition of Real Matrices

A general real matrix pair (A, B) can be decomposed by orthogonal similarity transformations into the form

A = U H V^T
B = U R V^T

where U and V are orthogonal, H is an upper Hessenberg matrix, and R is upper triangular. The Hessenberg-Triangular reduction is the first step in the generalized Schur decomposition for the generalized eigenvalue problem.

Function: int gsl_linalg_hesstri_decomp (gsl_matrix * A, gsl_matrix * B, gsl_matrix * U, gsl_matrix * V, gsl_vector * work)

This function computes the Hessenberg-Triangular decomposition of the matrix pair (A, B). On output, H is stored in A, and R is stored in B. If U and V are provided (they may be null), the similarity transformations are stored in them. Additional workspace of length N is needed in work.