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Polar decomposition

From Wikipedia, the free encyclopedia
Representation of invertible matrices as unitary operator multiplying a Hermitian operator

Inmathematics, thepolar decomposition of a squarereal orcomplexmatrixA{\displaystyle A} is afactorization of the formA=UP{\displaystyle A=UP}, whereU{\displaystyle U} is aunitary matrix, andP{\displaystyle P} is apositive semi-definiteHermitian matrix (U{\displaystyle U} is anorthogonal matrix, andP{\displaystyle P} is a positive semi-definitesymmetric matrix in the real case), both square and of the same size.[1]

If a realn×n{\displaystyle n\times n} matrixA{\displaystyle A} is interpreted as alinear transformation ofn{\displaystyle n}-dimensionalspaceRn{\displaystyle \mathbb {R} ^{n}}, the polar decomposition separates it into arotation orreflectionU{\displaystyle U} ofRn{\displaystyle \mathbb {R} ^{n}} and ascaling of the space along a set ofn{\displaystyle n} orthogonal axes.

The polar decomposition of a square matrixA{\displaystyle A} always exists. IfA{\displaystyle A} isinvertible, the decomposition is unique, and the factorP{\displaystyle P} will bepositive-definite. In that case,A{\displaystyle A} can be written uniquely in the formA=UeX{\displaystyle A=Ue^{X}}, whereU{\displaystyle U} is unitary, andX{\displaystyle X} is the unique self-adjointlogarithm of the matrixP{\displaystyle P}.[2] This decomposition is useful in computing thefundamental group of (matrix)Lie groups.[3]

The polar decomposition can also be defined asA=PU{\displaystyle A=P'U}, whereP=UPU1{\displaystyle P'=UPU^{-1}} is a symmetric positive-definite matrix with the same eigenvalues asP{\displaystyle P} but different eigenvectors.

The polar decomposition of a matrix can be seen as the matrix analog of thepolar form of acomplex numberz{\displaystyle z} asz=ur{\displaystyle z=ur}, wherer{\displaystyle r} is itsabsolute value (a non-negativereal number), andu{\displaystyle u} is a complex number with unit norm (an element of thecircle group).

The definitionA=UP{\displaystyle A=UP} may be extended to rectangular matricesACm×n{\displaystyle A\in \mathbb {C} ^{m\times n}} by requiringUCm×n{\displaystyle U\in \mathbb {C} ^{m\times n}} to be asemi-unitary matrix, andPCn×n{\displaystyle P\in \mathbb {C} ^{n\times n}} to be a positive-semidefinite Hermitian matrix. The decomposition always exists, andP{\displaystyle P} is always unique. The matrixU{\displaystyle U} is unique if and only ifA{\displaystyle A} has full rank.[4]

Geometric interpretation

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A real squarem×m{\displaystyle m\times m} matrixA{\displaystyle A} can be interpreted as thelinear transformation ofRm{\displaystyle \mathbb {R} ^{m}} that takes a column vectorx{\displaystyle x} toAx{\displaystyle Ax}. Then, in the polar decompositionA=RP{\displaystyle A=RP}, the factorR{\displaystyle R} is anm×m{\displaystyle m\times m} real orthogonal matrix. The polar decomposition then can be seen as expressing the linear transformation defined byA{\displaystyle A} into ascaling of the spaceRm{\displaystyle \mathbb {R} ^{m}} along each eigenvectorei{\displaystyle e_{i}} ofP{\displaystyle P} by a scale factorσi{\displaystyle \sigma _{i}} (the action ofP{\displaystyle P}), followed by a rotation ofRm{\displaystyle \mathbb {R} ^{m}} (the action ofR{\displaystyle R}).

Alternatively, the decompositionA=PR{\displaystyle A=PR} expresses the transformation defined byA{\displaystyle A} as a rotation (R{\displaystyle R}) followed by a scaling (P{\displaystyle P}) along certain orthogonal directions. The scale factors are the same, but the directions are different.

Properties

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The polar decomposition of thecomplex conjugate ofA{\displaystyle A} is given byA¯=U¯P¯.{\displaystyle {\overline {A}}={\overline {U}}{\overline {P}}.} Note thatdetA=detUdetP=eiθr{\displaystyle \det A=\det U\det P=e^{i\theta }r}gives the corresponding polar decomposition of thedeterminant ofA, sincedetU=eiθ,{\displaystyle \det U=e^{i\theta },} anddetP=r=|detA|.{\displaystyle \det P=r=|\det A|.} In particular, ifA{\displaystyle A} has determinant 1, then bothU{\displaystyle U} andP{\displaystyle P} have determinant 1.

The positive-semidefinite matrixP is always unique, even ifA issingular, and is denoted asP=(AA)1/2,{\displaystyle P=(A^{*}A)^{1/2},}whereA{\displaystyle A^{*}} denotes theconjugate transpose ofA{\displaystyle A}. The uniqueness ofP ensures that this expression is well-defined. The uniqueness is guaranteed by the fact thatAA{\displaystyle A^{*}A} is a positive-semidefinite Hermitian matrix and, therefore, has a unique positive-semidefinite Hermitiansquare root.[5] IfA is invertible, thenP is positive-definite, thus also invertible, and the matrixU is uniquely determined byU=AP1.{\displaystyle U=AP^{-1}.}

Relation to the SVD

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In terms of thesingular value decomposition (SVD) ofA{\displaystyle A},A=WΣV{\displaystyle A=W\Sigma V^{*}}, one hasP=VΣV,U=WV,{\displaystyle {\begin{aligned}P&=V\Sigma V^{*},\\U&=WV^{*},\end{aligned}}}whereU{\displaystyle U},V{\displaystyle V}, andW{\displaystyle W} are unitary matrices (orthogonal if the field is the realsR{\displaystyle \mathbb {R} }). This confirms thatP{\displaystyle P} is positive-definite, andU{\displaystyle U} is unitary. Thus, the existence of the SVD is equivalent to the existence of polar decomposition.

One can also decomposeA{\displaystyle A} in the formA=PU.{\displaystyle A=P'U.}HereU{\displaystyle U} is the same as before, andP{\displaystyle P'} is given byP=UPU1=(AA)1/2=WΣW.{\displaystyle P'=UPU^{-1}=(AA^{*})^{1/2}=W\Sigma W^{*}.}This is known as the left polar decomposition, whereas the previous decomposition is known as the right polar decomposition. Left polar decomposition is also known as reverse polar decomposition.

Thepolar decomposition of a square invertible real matrixA{\displaystyle A} is of the formA=[A]R,{\displaystyle A=[A]R,}where[A](AAT)1/2{\displaystyle [A]\equiv \left(AA^{\mathsf {T}}\right)^{1/2}} is apositive-definitematrix, andR=[A]1A{\displaystyle R=[A]^{-1}A} is an orthogonal matrix.

Relation to normal matrices

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The matrixA{\displaystyle A} with polar decompositionA=UP{\displaystyle A=UP} isnormal if and only ifU{\displaystyle U} andP{\displaystyle P}commute (UP=PU{\displaystyle UP=PU}), or equivalently, they aresimultaneously diagonalizable.

Construction and proofs of existence

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The core idea behind the construction of the polar decomposition is similar to that used to compute thesingular-value decomposition.

Derivation for normal matrices

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IfA{\displaystyle A} isnormal, then it is unitarily equivalent to a diagonal matrix:A=VΛV{\displaystyle A=V\Lambda V^{*}} for some unitary matrixV{\displaystyle V} and some diagonal matrixΛ .{\displaystyle \Lambda ~.} This makes the derivation of its polar decomposition particularly straightforward, as we can then writeA=VΦΛ|Λ|V=(VΦΛV)U(V|Λ|V)P,{\displaystyle A=V\Phi _{\Lambda }|\Lambda |V^{*}=\underbrace {\left(V\Phi _{\Lambda }V^{*}\right)} _{\equiv U}\underbrace {\left(V|\Lambda |V^{*}\right)} _{\equiv P},}

where|Λ|{\displaystyle |\Lambda |} is the matrix of absolute diagonal values, andΦΛ{\displaystyle \Phi _{\Lambda }} is a diagonal matrix containing thephases of the elements ofΛ,{\displaystyle \Lambda ,} that is,(ΦΛ)iiΛii/|Λii|{\displaystyle (\Phi _{\Lambda })_{ii}\equiv \Lambda _{ii}/|\Lambda _{ii}|} whenΛii0,{\displaystyle \Lambda _{ii}\neq 0,}, and(ΦΛ)ii=0{\displaystyle (\Phi _{\Lambda })_{ii}=0} whenΛii=0 .{\displaystyle \Lambda _{ii}=0~.}

The polar decomposition is thusA=UP,{\displaystyle A=UP,} withU{\displaystyle U} andP{\displaystyle P} diagonal in the eigenbasis ofA{\displaystyle A} and having eigenvalues equal to the phases and absolute values of those ofA,{\displaystyle A,} respectively.

Derivation for invertible matrices

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From thesingular-value decomposition, it can be shown that a matrixA{\displaystyle A} is invertible if and only ifAA{\displaystyle A^{*}A} (equivalently,AA{\displaystyle AA^{*}}) is. Moreover, this is true if and only if the eigenvalues ofAA{\displaystyle A^{*}A} are all not zero.[6]

In this case, the polar decomposition is directly obtained by writingA=A(AA)1/2(AA)1/2,{\displaystyle A=A\left(A^{*}A\right)^{-1/2}\left(A^{*}A\right)^{1/2},}and observing thatA(AA)1/2{\displaystyle A\left(A^{*}A\right)^{-1/2}} is unitary. To see this, we can exploit the spectral decomposition ofAA{\displaystyle A^{*}A} to writeA(AA)1/2=AVD1/2V{\displaystyle A\left(A^{*}A\right)^{-1/2}=AVD^{-1/2}V^{*}}.

In this expression,V{\displaystyle V^{*}} is unitary becauseV{\displaystyle V} is. To show that alsoAVD1/2{\displaystyle AVD^{-1/2}} is unitary, we can use theSVD to writeA=WD1/2V{\displaystyle A=WD^{1/2}V^{*}}, so thatAVD1/2=WD1/2VVD1/2=W,{\displaystyle AVD^{-1/2}=WD^{1/2}V^{*}VD^{-1/2}=W,}where againW{\displaystyle W} is unitary by construction.

Yet another way to directly show the unitarity ofA(AA)1/2{\displaystyle A\left(A^{*}A\right)^{-1/2}} is to note that, writing theSVD ofA{\displaystyle A} in terms of rank-1 matrices asA=kskvkwk{\textstyle A=\sum _{k}s_{k}v_{k}w_{k}^{*}}, wheresk{\displaystyle s_{k}}are the singular values ofA{\displaystyle A}, we haveA(AA)1/2=(jλjvjwj)(k|λk|1wkwk)=kλk|λk|vkwk,{\displaystyle A\left(A^{*}A\right)^{-1/2}=\left(\sum _{j}\lambda _{j}v_{j}w_{j}^{*}\right)\left(\sum _{k}|\lambda _{k}|^{-1}w_{k}w_{k}^{*}\right)=\sum _{k}{\frac {\lambda _{k}}{|\lambda _{k}|}}v_{k}w_{k}^{*},} which directly implies the unitarity ofA(AA)1/2{\displaystyle A\left(A^{*}A\right)^{-1/2}} because a matrix is unitary if and only if its singular values have unitary absolute value.

Note how, from the above construction, it follows thatthe unitary matrix in the polar decomposition of an invertible matrix is uniquely defined.

General derivation

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The SVD of a square matrixA{\displaystyle A} readsA=WD1/2V{\displaystyle A=WD^{1/2}V^{*}}, withW,V{\displaystyle W,V} unitary matrices, andD{\displaystyle D} a diagonal, positive semi-definite matrix. By simply inserting an additional pair ofW{\displaystyle W}s orV{\displaystyle V}s, we obtain the two forms of the polar decomposition ofA{\displaystyle A}:A=WD1/2V=(WD1/2W)P(WV)U=(WV)U(VD1/2V)P.{\displaystyle A=WD^{1/2}V^{*}=\underbrace {\left(WD^{1/2}W^{*}\right)} _{P}\underbrace {\left(WV^{*}\right)} _{U}=\underbrace {\left(WV^{*}\right)} _{U}\underbrace {\left(VD^{1/2}V^{*}\right)} _{P'}.}More generally, ifA{\displaystyle A} is some rectangularn×m{\displaystyle n\times m} matrix, its SVD can be written asA=WD1/2V{\displaystyle A=WD^{1/2}V^{*}} where nowW{\displaystyle W} andV{\displaystyle V} are isometries with dimensionsn×r{\displaystyle n\times r} andm×r{\displaystyle m\times r}, respectively, whererrank(A){\displaystyle r\equiv \operatorname {rank} (A)}, andD{\displaystyle D} is again a diagonal positive semi-definite square matrix with dimensionsr×r{\displaystyle r\times r}. We can now apply the same reasoning used in the above equation to writeA=PU=UP{\displaystyle A=PU=UP'}, but nowUWV{\displaystyle U\equiv WV^{*}} is not in general unitary. Nonetheless,U{\displaystyle U} has the same support and range asA{\displaystyle A}, and it satisfiesUU=VV{\displaystyle U^{*}U=VV^{*}} andUU=WW{\displaystyle UU^{*}=WW^{*}}. This makesU{\displaystyle U} into an isometry when its action is restricted onto the support ofA{\displaystyle A}, that is, it means thatU{\displaystyle U} is apartial isometry.

As an explicit example of this more general case, consider the SVD of the following matrix:A(112200)=(100100)W(2008)D(12121212)V.{\displaystyle A\equiv {\begin{pmatrix}1&1\\2&-2\\0&0\end{pmatrix}}=\underbrace {\begin{pmatrix}1&0\\0&1\\0&0\end{pmatrix}} _{\equiv W}\underbrace {\begin{pmatrix}{\sqrt {2}}&0\\0&{\sqrt {8}}\end{pmatrix}} _{\sqrt {D}}\underbrace {\begin{pmatrix}{\frac {1}{\sqrt {2}}}&{\frac {1}{\sqrt {2}}}\\{\frac {1}{\sqrt {2}}}&-{\frac {1}{\sqrt {2}}}\end{pmatrix}} _{V^{\dagger }}.}We then haveWV=12(111100){\displaystyle WV^{\dagger }={\frac {1}{\sqrt {2}}}{\begin{pmatrix}1&1\\1&-1\\0&0\end{pmatrix}}}which is an isometry, but not unitary. On the other hand, if we consider the decomposition ofA(100020)=(1001)(1002)(100010),{\displaystyle A\equiv {\begin{pmatrix}1&0&0\\0&2&0\end{pmatrix}}={\begin{pmatrix}1&0\\0&1\end{pmatrix}}{\begin{pmatrix}1&0\\0&2\end{pmatrix}}{\begin{pmatrix}1&0&0\\0&1&0\end{pmatrix}},}we findWV=(100010),{\displaystyle WV^{\dagger }={\begin{pmatrix}1&0&0\\0&1&0\end{pmatrix}},}which is a partial isometry (but not an isometry).

Bounded operators on Hilbert space

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Thepolar decomposition of anybounded linear operatorA between complexHilbert spaces is a canonical factorization as the product of apartial isometry and a non-negative operator.

The polar decomposition for matrices generalizes as follows: ifA is a bounded linear operator then there is a unique factorization ofA as a productA =UP whereU is a partial isometry,P is a non-negative self-adjoint operator and the initial space ofU is the closure of the range ofP.

The operatorU must be weakened to a partial isometry, rather than unitary, because of the following issues. IfA is theone-sided shift onl2(N), then |A| = {A*A}1/2 =I. So ifA =U |A|,U must beA, which is not unitary.

The existence of a polar decomposition is a consequence ofDouglas' lemma:

LemmaIfA,B are bounded operators on a Hilbert spaceH, andA*AB*B, then there exists a contractionC such thatA = CB. Furthermore,C is unique if ker(B*) ⊂ ker(C).

The operatorC can be defined byC(Bh) :=Ah for allh inH, extended by continuity to the closure ofRan(B), and by zero on the orthogonal complement to all ofH. The lemma then follows sinceA*AB*B implies ker(B) ⊂ ker(A).

In particular. IfA*A =B*B, thenC is a partial isometry, which is unique if ker(B*) ⊂ ker(C).In general, for any bounded operatorA,AA=(AA)1/2(AA)1/2,{\displaystyle A^{*}A=\left(A^{*}A\right)^{1/2}\left(A^{*}A\right)^{1/2},}where (A*A)1/2 is the unique positive square root ofA*A given by the usualfunctional calculus. So by the lemma, we haveA=U(AA)1/2{\displaystyle A=U\left(A^{*}A\right)^{1/2}}for some partial isometryU, which is unique if ker(A*) ⊂ ker(U). TakeP to be (A*A)1/2 and one obtains the polar decompositionA =UP. Notice that an analogous argument can be used to showA = P'U', whereP' is positive andU' a partial isometry.

WhenH is finite-dimensional,U can be extended to a unitary operator; this is not true in general (see example above). Alternatively, the polar decomposition can be shown using the operator version ofsingular value decomposition.

By property of thecontinuous functional calculus, |A| is in theC*-algebra generated byA. A similar but weaker statement holds for the partial isometry:U is in thevon Neumann algebra generated byA. IfA is invertible, the polar partU will be in theC*-algebra as well.

Unbounded operators

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IfA is a closed, densely definedunbounded operator between complex Hilbert spaces then it still has a (unique)polar decompositionA=U|A|,{\displaystyle A=U|A|,}where |A| is a (possibly unbounded) non-negative self-adjoint operator with the same domain asA, andU is a partial isometry vanishing on the orthogonal complement of the range ran(|A|).

The proof uses the same lemma as above, which goes through for unbounded operators in general. If dom(A*A) = dom(B*B), andA*Ah =B*Bh for allh ∈ dom(A*A), then there exists a partial isometryU such thatA =UB.U is unique if ran(B) ⊂ ker(U). The operatorA being closed and densely defined ensures that the operatorA*A is self-adjoint (with dense domain) and therefore allows one to define (A*A)1/2. Applying the lemma gives polar decomposition.

If an unbounded operatorA isaffiliated to a von Neumann algebraM, andA =UP is its polar decomposition, thenU is inM and so is the spectral projection ofP, 1B(P), for any Borel setB in[0, ∞).

Quaternion polar decomposition

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The polar decomposition ofquaternionsH{\displaystyle \mathbb {H} } withorthonormal basis quaternions1,ı^,ȷ^,k^{\displaystyle 1,{\hat {\imath }},{\hat {\jmath }},{\hat {k}}} depends on the unit 2-dimensional spherer^{xı^+yȷ^+zk^HR:x2+y2+z2=1}{\displaystyle {\hat {r}}\in \{x{\hat {\imath }}+y{\hat {\jmath }}+z{\hat {k}}\in \mathbb {H} \setminus \mathbb {R} :x^{2}+y^{2}+z^{2}=1\}} ofsquare roots of minus one, known asright versors. Given anyr^{\displaystyle {\hat {r}}} on this sphere and an angleπ <aπ, theversorear^=cosa+r^sina{\displaystyle e^{a{\hat {r}}}=\cos a+{\hat {r}}\sin a} is on the unit3-sphere ofH.{\displaystyle \mathbb {H} .} Fora = 0 anda =π, the versor is 1 or −1, regardless of whichr is selected. Thenormt of a quaternionq is theEuclidean distance from the origin toq. When a quaternion is not just a real number, then there is aunique polar decomposition:q=texp(ar^).{\displaystyle q=t\exp(a{\hat {r}}).}Herer,a,t are all uniquely determined such thatr is a right versor(r2 = –1),a satisfies0 <a <π, andt > 0.

Alternative planar decompositions

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In theCartesian plane, alternative planarring decompositions arise as follows:

  • Ifx ≠ 0,z =x(1 + ε(y/x)) is a polar decomposition of adual numberz =x +, whereε2 = 0; i.e.,ε isnilpotent. In this polar decomposition, the unit circle has been replaced by the linex = 1, the polar angle by theslopey/x, and the radiusx is negative in the left half-plane.
  • Ifx2y2, then theunit hyperbolax2y2 = 1, andits conjugatex2y2 = −1 can be used to form a polar decomposition based on the branch of the unit hyperbola through(1, 0). This branch is parametrized by thehyperbolic anglea and is writtencosha+jsinha=exp(aj)=eaj,{\displaystyle \cosh a+j\sinh a=\exp(aj)=e^{aj},} wherej2 = +1, and the arithmetic[7] ofsplit-complex numbers is used. The branch through(−1, 0) is traced by −eaj. Since the operation of multiplying byj reflects a point across the liney =x, the conjugate hyperbola has branches traced byjeaj or −jeaj. Therefore a point in one of the quadrants has a polar decomposition in one of the forms:reaj,reaj,rjeaj,rjeaj,r>0.{\displaystyle re^{aj},-re^{aj},rje^{aj},-rje^{aj},\quad r>0.} The set{1, −1,j, −j} has products that make it isomorphic to theKlein four-group. Evidently polar decomposition in this case involves an element from that group.

Polar decomposition of an element of thealgebra M(2, R) of 2 × 2 real matrices uses these alternative planar decompositions since any planarsubalgebra is isomorphic to dual numbers, split-complex numbers, or ordinary complex numbers.

Numerical determination of the matrix polar decomposition

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To compute an approximation of the polar decompositionA =UP, usually the unitary factorU is approximated.[8][9] The iteration is based onHeron's method for the square root of1 and computes, starting fromU0=A{\displaystyle U_{0}=A}, the sequenceUk+1=12(Uk+(Uk)1),k=0,1,2,{\displaystyle U_{k+1}={\frac {1}{2}}\left(U_{k}+\left(U_{k}^{*}\right)^{-1}\right),\qquad k=0,1,2,\ldots }

The combination of inversion and Hermite conjugation is chosen so that in the singular value decomposition, the unitary factors remain the same and the iteration reduces to Heron's method on the singular values.

This basic iteration may be refined to speed up the process:

See also

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References

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  1. ^Hall 2015, Section 2.5.
  2. ^Hall 2015, Theorem 2.17.
  3. ^Hall 2015, Section 13.3.
  4. ^Higham, Nicholas J.; Schreiber, Robert S. (1990). "Fast polar decomposition of an arbitrary matrix".SIAM J. Sci. Stat. Comput.11 (4). Philadelphia, PA, USA: Society for Industrial and Applied Mathematics:648–655.CiteSeerX 10.1.1.111.9239.doi:10.1137/0911038.ISSN 0196-5204.S2CID 14268409.
  5. ^Hall 2015, Lemma 2.18.
  6. ^Note how this implies, by the positivity ofAA{\displaystyle A^{*}A}, that the eigenvalues are all real and strictly positive.
  7. ^Sobczyk, G. (1995) "Hyperbolic Number Plane",College Mathematics Journal 26:268–280.
  8. ^Higham, Nicholas J. (1986). "Computing the polar decomposition with applications".SIAM J. Sci. Stat. Comput.7 (4). Philadelphia, PA, USA: Society for Industrial and Applied Mathematics:1160–1174.CiteSeerX 10.1.1.137.7354.doi:10.1137/0907079.ISSN 0196-5204.
  9. ^Byers, Ralph; Hongguo Xu (2008). "A New Scaling for Newton's Iteration for the Polar Decomposition and its Backward Stability".SIAM J. Matrix Anal. Appl.30 (2). Philadelphia, PA, USA: Society for Industrial and Applied Mathematics:822–843.CiteSeerX 10.1.1.378.6737.doi:10.1137/070699895.ISSN 0895-4798.
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