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FM05 12:lO

Proceedings of the 37th IEEE

Conference on Decision & Control
Tampa, Florida USA December 1998

Matrix-Based Bounding vs. Element-Wise Bounding for

the MPEP Global Optimization
Yuji Y A M A D A ~
Shinji H A R A ~
Department of Computational Intelligence and Systems Science
Tokyo Institute of Technology
4259 Nagatsuta-cho, Midori-ku, Yokohama 226-8502, Japan

Tlie objective of this paper is to compare oiir proposed algorithm [12, 131 for solving the M P E P with
BMI lxtiirh and boiiiid algorithms [2, 4, 101 proposed
for solving tlie BMI problem, which are respectively
characterized by the matrix-based l~oiindingand the
element-wise boiiiiding. We show that iisiiig tlie
matrix-based boiinding has soiiie advantages over the
element-wise boiinding to solve the MPEP. e.g.. we
can coiistriict a glohal algorithm siich that tlie iteration nuinher is giiaranteed to he l~oiindeclby ail iteration iipper boiind. Moreover, tlie algorithm iisiiig tlie
matrix-based boiinding solves each convex siibproblem
(relaxatioii problem) niore efficiently. In tlie seqiiel. we
will clarify tlie following facts:

I n this paper, we compare tlie matrix-based bounding

and t h e element-wise bounding concerning the glohal
optiiiiizatioii for tlie matrix product eigenvalue problem ( M P E P ) , which addresses lots of typical bilinear
matrix inequality (BMI) problems for control syiitliesis. I t is shown t h a t using tlie matrix-based lminding
has sonie advantages to consider tlie global optiniixation for the M P E P over tlie element-wise boiinding.
Numerical experiments illustrate that the algorithm tising tlie matrix-based boiinding is better than that of
the element- wise b oundiiig in the t o t a1 conipii t a t ional

Tlie matrix size of LMIs and tlie niiniber of variahles in one convex siibprohlem for the niatrixbased boiinding is niiicli less than t h a t for tlie
element-wise lioiuiding, wliicli leads to tlie speedtip to solve one siihprohleni.

1 Introduction

I n this paper, we consider the matrix procliict eigenvaliie problem (MPEP)introdiiced in [12, 131, which is
a problem between tlie linear matrix ineqiiality (LMI)
problem and the bilinear matrix ineqiiality (BMI [9])
problem, i.e., LMI c MPEP c BMI. Tlie motivation
is siininiarized as follows:

A niiniber of iiiiinerical experiments illiistrates

that tlie performance of tlie algorithm iisiiig tlie
matrix-based boiinding is better even in tlie actual case.

Tlie LMI problem is known to be highly tractable

(e.g., [I]),but it is restrictive to formilate control
synthesis problems.
T h e BMI problem is a fairly general framework
to formulate control synthesis problems, b i i t it
is very difficiilt to solve [4]. Therefore, we iieed
t o define a siibclass of tlie BMI problem to solve
control synthesis problems niore efficiently.
Tlie M P E P is formulated as follows: Minimite the .spectral rad,ius of th,e product of trrio hlock-diagonal po,sit%.ue
Although tlie MPEP defines a subclass of the BMI
problem as stated above, it can formulate most of typical BMI prohlenis for control synthesis characterized by
the Lyapuiiov ineqiialities. In other words, the M P E P
is also a general framework for control synthesis.
E-mail: yuj iPcs .d i s .t i t e c h . ac .j p
2E-niail: haraQcs. d i s .t i t e c h . a c . j p
In all corrcsporidc~icc. contact. t.hc second aiit,hor. S. Hara tiy
E-riiail or Fax: +81-45-924-5442
0-7803-4394-8198$10.00 0 1998 IEEE


This paper is organized as follows: We state tlie prohleni foriiiiilation and disciiss its property in Section 2 .
In Sectinn 3, we compare two relaxation prohleiiis, the
element-wise boiinding and tlie matrix-hased boiindiiig. In Section 4,we rlisciiss tlie total iteration niinilxr
and compiitational time in tlie worst and tlie average
cases, where tlie average case iteration i i i ~ n i l ~ eisr illiistratecl by ntimerical experinieiits for the constantly
scaled 71m control synthesis. Section 5 offers sonie concli d i n g remarks.

2 Problem description
2.1 The matrix product eigenvalue problem
We first define a set of block-diagonal iiiatxices V by

Here tlie secoiid equality is ohtaiiierl by a siiiiple parameter change, and the third eqiiality is ohtaiiied by
observiiig t h a t


s,,:= { c I c E !RFx, c = ET > 0 }


Let 2, he a closed lmiiiicled coiivex subset of 2, x D.

T h e n the M P E P is foriiiiilated as follows [12, 131:


iiiiiiiiilize ~:!A,:
siihjec; to (E, A ) E 2,. c

x D

Notnice t h a t the optiniizatioii problem (2.G) is a BMI

problem, becaiise all tlie coiistraiiits are cliaracterized
as BMIs. This iiiiplies t h a t t h e M P E P defines a subclass of BMI problems, and hence, global optimization
sclieiiies based on the hraiicli and boiiiid met,hod proposed for solving the BMI prohlem [2, 4, 101 a r e available after rewriting the iioiicoiivex coiistraiiits in (2.G)
as a liaffiiie fiiiiction.

where ~t~!:~
(.) denotes the sqiiare root of tlie maxiiiiitiii
eigeiivaliiel (or t h e square root of the spectral rachis).
T h e coiivex set 2, is iiormally defined by LMIs for coiitrol synthesis prohleiiis, so tlie reader inay associate the
coiivex constraint (E, A ) E 2, in (2.3) with LMIs on
(E, A ) E V x V .

We make the following assiiiiiptioii, which is not reOn the other hand, we have proposed a global optiiiiizatioii scheme to solve the M P E P directly. T h e
main difference of t h e two approaches lies in their

strictive when control synthesis prohleiiis are considered [12, 131:

Assumption 2.1 (Monotonicity on 2c) Th.e

follo.iiiiirg relation h,olds for airy given! (2, A) E V x 2):

( 2 , A) E 2,

{(E, A)EDxD I C > Q , A > A } C ~ ~

2.2 6-global optimization and BMI condition

T h e scope of glohal optimization in this paper is to
find a siil,-optiiiial soliition within any specified relative tolerance c: E (0, 1) from tlie globally optimal soliitioii, namely 6-glohal optimization proldem definecl
as follows:

relaxation problems, which are respectively based on

the matrix-hased lmiindiiig aiid t h e element-wise
boiiiidiiig. Next section, we will compare these two
relaxation problems aiid show t h a t i.ising t h e iiiatrix
based hoiiiidiiig has soiiie advantages over tlie eleiiientwise lmiindiiig for solving oiie coiivex siihprohleiii.

Remark 2.1 Th.e M P E P is con,s%deredas n gen,eral%zo.t%on,

to th,e problem, f o r th,e po.sit%.iiedefinite m,atrix
case from, th.e linear mzrltiplicat%rie prograni,nr%n,g( L M P )
problem, [5], ,irih,ich.h,as heen, explored ,in, th,e field of n,trrn,erical opt%nr%tat%on,
on. th,e Euclidean, sp~,ce.Th.e L M P
prolilem is

T h e MPEP can be recast as a prohlem of iiiiiiiiiiiziiig a
linear objective fimctioii iiiider iioiicoiivex constraints,
i.e., tlie followiiig eqiialities hold:
yr,l)t =


{ y>0

I A:~!~~(EA)I

7. (E. A ) E 2,


0, con,carw,%mirationprohlem. form,,ulated

sithject to



E C c 8


> 0,



3 Matrix-based bounding vs. element-wise


As both tlie BMI problem aiid tlie M P E P are 11011coiivex whicli may liave pliiral local minima, we have
t o search over a soliition on all tlie entire doiiiaiii directly or secondhand in general. This is tlie difference
between coiivex aiid iioiicoiivex optimization proldeiiis,
aiid it makes tlie iioiicoiivex optimization prohleiii extreiiiely difficult. A general and perhaps aii efficient
way to do this process is the so-called lxaiicli aiid I~oiiiid
method (see e.g.. [7]). Roiiglily speaking, tlie branch
and boiiiid method consists of the following t,wo operations [7]:
Branching: Siibdivide the boiiiided doiiiaiii to be
searched into a finite niiiiiber of smaller s i i h spaces, e.g. hyper rectangles.
Boiiiidiiig: For each siibspace, fiiid iipper aiid lower
boiiiids on tlie objective fiiiictioii Iiy iisiiig iipper
lmiiiid a n d lower lmiiid fiiiictioiis. If the lower
lmiiid on certain siilxpace is larger than the ciirrent optimal valiie. priiiie the s i i l q a c e from the

If we iiiteiid to apply the lxmcli aiid l~oiiiidprocess

to a iioiicoiivex optimization p r o l h i i , we iieed to coiistriict relaxation prohleiiis which give iipper and lower
boiiiids respectively on a given siilxpace. These relaxation proldeiiis slioiild be defiiied by coiivex constraints
which approximates iioiicoiivex coiistraiiits on the siihspace. Tlie perforiiiaiice of tlie branch aiid l~oiiiidtype
algorithm is clearly depeiideiit of tlie relaxation prolilems.

j= 1

i=l j=1

Then the BMI eigeiivaliie problem is foriiiiilated as follows [4]: Given @ i j , minimize p (CP ( 2 ,y ) ) over (x. y) E
Q D c R7".rx R7',v. where Q D is a given closed boiiiitled
hyper rectangle.
Go11 et al. [4] proposed a relaxation prohleiii in order
to apply tlie liraiich aiid hoiiiid techiiiqiie to the BMI
eigeiivaliie prol1leii1, by element-wise replaceiiieiits of
liaffiiie teriiis :i;.iyj by 7uij with additional l,oiiiid coiistraiiits on n:i, y j aiid w i j . element-wisely. Tliey showed
tliat tlie relaxation probleiii provides an lower Imiiid





+ n:lzV22
+ 3:zzyz

This implies that we have to search over seven iioiicoiivex areas in spite of the siiiiplest case. More generally.
in tlie case of 71. x n, positrive tlefiiiite iiiatrices, the iiiiiiiher of iioiicoiivex constraints is given l,y

- 71,(?1. - 1 ) / 2

which increases rapidly with respect to n,.

Let 11sdefine a lkffiiie fiiiiction CP: P " , r x !R7'u -+ !R"1~X7rL

E R7r1,xTf1~:
for given symmetric iiiatrices @ i j =

i= 1

However, tlie precision of the approxiiiiatioii Ixcoiiies

worse for the elenient-wise Imiiitliiig as the iiiiiiil~er
of iioiicoiivex constraints gets increase. and fiirtlieriiiore, additional linear constraints are needed per oiic
replacement of iioiicoiivex constraint. e.g.. two additional linear constraints for [4] aiid foiir for [2. lo].
Coiiseqiieiit,ly, tlie iipper a n d lower hoiiiids ol,taiiied
by tlie element-wise hoiiiidiiig teiid to l x conservative.
aiid tlie speed to coiiipiite tlie lower Imiiiid lxcoiiies
slower. Moreover, the iiiiiiil,er of iioiicoiivex constraints
increases rapidly coiiiparet-l with tlie sizes of iiiatrices.
For instance. consider tlie simplest matrix case, i.e..
X U , (X. Y ) E S2 x S2. Tlie condition iiicliides "seven
biaffiiie teriiis," siiice X Y is written as


In this sectioii. we disciiss relaxation prohleiiis which

enable 11s to apply a branch aiid Imiiid process for the
BMI proldeiii and tlie MPEP. which are respectively
cliaracterized as tlie b*eleiiient-wisehoiiiidiiig" aiid the

3.1 Element-wise bounding

of tlie objective fiiiictioii in 011 a given hyper rectangle.

Tlie relaxation prol~leiiihas been iiiiproved by Fiijioka
aiid Hosliijima [2] and Takaiio et al. [lo]. They proposed a iiietliod to obtain a tighter lower boiiiid, which
coiistriicts tlie coiivex hi111 on tlie iioiicoiivex constraints
7 4 j = z i y j on a given hyper rectangle. A coiiiiiioii
point of these relaxation problems is that each 11011coiivex constraint 7 q j = :i;iyj is partially approxiiiiated
in terms of a coiivex region, aiid tlie approximation is
doiie eleiiieiit-wisely, i.e., the eleiiieiit-wise 1,oiiiiding.

3.2 Matrix-based bounding

On the other liaiid, tlie relaxation prol,leiii [ l a , 131 for
the M P E P is characterized by the iiiatrix-1,aset-l I,oiiiic-liiig. i.g.. the parameter boiiiids of the siihspacc for the
prohleiii are determined hy block-diagonal positive t-lefiiiite iiiatxices. Tlie idea is hased on tlie eqiialities in
(2.G) and tlie following relation: For any given C E V
and A E V ,it holds that

AA!2x(EA) 5 y

5 278 (3.2)

3(1) E V ; C + O A O

Hence. we liave
= inf{ y


I C + O A 8 5 270
8 E V. (E, A )

E 2,

} (3.3)

Tlie prol~lcm(3.3) is not coiivex either since it lias a

iioiicoiivex comt,, C O A O 5 2 7 0 , hiit it l ~ e c o i i i ~ s
coiivex if 0 E V is fixed.


Consider tlie space with respect to t h last

eqiiality in (2.G). Let F ( y ) be a set of feasible with
a given level y > 0 defined by
3 ( y ) :=




For a given norm-boiiii~ledsiibspace of

B c V.let 11s defiiie r ( B ) as

V ,deiioted by

V ,aiid k depends on the way to constnick relaxation problems aiid is given by k = 2 for [4] a n d
k = 4 for [2, 101. I t is readily seen that, the relaxation problem iisiiig tlie matrix-based hoiiiidiiig can be
solved iiiore efficiently than the ones iisiiig tlie elenleiitwise lmiiiding, hecaiise the miinher of variables aiid tlie
matrix size of LMIs are Imth iiiiicli less than those for
the element-wise hoiiiidiiig. Coiiseqiieiitly, we conchide
that tlie relaxation iisiiig tlie matrix-based lmiiiding is
better than the element-wise lmiiiidiiig at least for solviiig m e coiivex siibprol~lem.


# 8 liold for soiiie > 0. we see

If B 3 F(T)and F(+)
t h a t Y,,,,~, = r ( B ) holds. We fiirtlier define Be.K by

for given 0 E D aiid

E (1, m). With these definitions, t,he following leiiiiiia provides a coiivex optimization problem to find iipper aiid lower boiiiids on
r(Be,,) for any given 0 aiid K, E (0, 1)[12, 131:




matrix base


increase of
@ iiiatrix size


w) I

Lemma 3.1 Let

4 Total computational cost

We iiext compare tlie total iteration iiiiiiil)er for tlie two
global optimization algorithms of [2] aiid [ 131 which
In Lemma 3.1, Fe in (3.G) caii be compiited by solving
a coiivex optimization prol,leiii, or the semidefinite programiiiiiig prohleiii if 2, is defiiied by LMIs. Note t h a t
probleiii (3.15) caii be considered as a relaxation Ixohlem. Iwcaiise tlie iioiicoiivex coiistraiiit A:,::~ (CA) 5 y
in the original problem is relaxed. This relaxation
problem has tlie followiiig properties:

T h e lmiiiidiiig region is determined by tlie iiiterval of positive definite matrices.

It gives iipper and lower boiiiids siiiiiiltaneoiisly
by solving proldeiii (3.G) once at each step.
Tlie matrix size and t,he iiiiiiilier of variables for
the corresponding LMI problem do not increase
compared with tlie original proldeiii.
Tlie gap between tlie iipper aiid lower baiiiid can
be estimated by h: which deteriiiiiies the size of
tlie lmiiiidiiig region.

3.3 Discussions
Table 3.1 compares tlie matrix sizes of LMIs and the
iiiinil>er of varialdes for tlie relaxation problems by 11siiig the element-wise (EW) boiiiidiiig aiid tlie iiiatrixbased ( M B ) boiiiidiiig, where the case V = S,, is coiisidered for simplicity. n, correspoiids t o tlie size of

are respectively lmsed


the eleiiieiit-wise l~oiiiidiiig

aiid tlie matrix-based hoiiiidiiig. We especially fociis

on the algorithm in [2] aiiiong the algorithms [2. 4, 101
iisiiig the eleiiient-wise hoiiiidiiig for the BMI proldeiii,
from tlie following reasons: Using coiivex hiill seems
the tightest, to approxiniate the iioiicoiivex region. aiid
the algorithm in [2] is at least better than the nile in
[4]. Also note that, tlie algorithm in [lo] iises tlie saiiie
coiivex hi111 as that in [2].

4.1 Worst case

In [12, 131, we have proposed aii algorithm to solve
tlie 6-global optimization problem for t h e M P E P ancl
sliowii that solving coiivex optimization prohleiii (3.G)
for different valiies of 0 at iiiost N (< m) tiiiies yields
a siihoptiiiial soliition y- satisfying (2.4). Moreover,
we have derived the worst case order as sliowii in tlie
followiiig theorem:

Theorem 4.1 N 5 N,,,,, hmlds, ,trth.cre

N,,,,, := 0
[ :=


1of scalar



,rrar%ablcs in, C E

In tlie above theorem, N,,,,, provides tlie worst case

iteration number, and note that the actual iteration

T h e second coliiiiin compares average CPU- time. We

first notice that there is a large difference I3etween the
two. Especially, we see t h a t the average CPU-time per
oiie iteration for the YH algorithm is less than qiiarter
of that for the FH algorithm. Note that the iiiatrix size
of LMI to be solved in the FH algoritliiii is 38 and that
in tlie YH algorithm is given by 33.

iiiiniber and order may be much less than those of the

worst case.

On the other hand, we have not obtained the worst

case iteration iiiiiiiber for tlie BMI branch and lioiind
algorithnis [2, 4, 101 using the element-wise boiinding in
general. Altlioiigli the siiiallest size of rectangles for tlie
worst case has been shown in [2], their resiilts are not
guaranteed that the iteration niiiiiber is bounded by
an exact worst case iteration nuniber. Consequently, it
may liappeii that we need a fairly large compiitational
effort even if the problem size or the number of lioncoiivex constraints is small. Numerical examples in the
next subsection will siiggest that the actiial iteration
nuniber of the algorithm in [2] iisiiig the element-wise
bounding niay vary widely and soiiietiiiies can be large
even if tlie simplest case is considered.

Table 4.1: 100 raiidoiiily generated prohlems

Avg. Iteration


YH [13]

4.2 Average case

two cases. All the compiitations in this paper were

carried out by using Matlab.

We have solved raiidoiiily generated 100 problems of

plant order four, by using the algorithm proposed in
Fiijioka and Hosliijima ( F H [2]) and Yaiiiada and Hara
(YH [13]). Note that, for a k e d scaling matrix, i.e.,
tlie standard Zrnproblem, the matrix size of LMIs to
be solved is 32, which contains two Lyapiiiiov matrices
of size 4 x 4 as variables. Table 4.1 shows oiir iiiiiiierical results. T h e first coliiniii compares the average
number of iterations reqiiired to find a global soliition
within tolerance c = 1 x 1 W 2 . For the F H algorithm,
we oiily counted the iiiiiiiber of branches correspoiiding
to tlie number of lower bound problems, so the ntiniber of convex siibprobleiiis gets increase if we coiiiit
the number of upper boiiiid problems. On the other
hand, the niiniber of iterations is exactly correspondiiig to the niiniber of convex siibprohlems for the YH
algorithm, becaiise the convex subproblem in the YH
algorithm computes iipper and lower h i n d s siniiiltaneoiisly by solving oiie convex optimization problem at
each step. I n spite of these siiiiplest scalar case, we see
t h a t there is a large difference of tlie average niiiiiber
of iterations between tlie two:, the iteration miniher of
the YH algorithm is less tliaii oiie third of t h a t for the
FH algorithm.

- Avg.
- - - CPU-time
- - - - - -(s)

total/one iteration





Table 4.1 is a histogram which shows a relation 1x:tween

the iteration niiiiiber and the iiiiiiil>er of pro1)leiiis obtained by the F H algorithiii for the same probleiii d a t a
as in Table 4.1. Ahoiit 10 o/I of prohlenis are iiiore
than 70 iterations, altlioiigli tlie average is less than
50. Moreover, two prolileiiis are more than 90 which
is iiiore than t,wice the average iteration iiiimlier. On
the other hand, for tlie YH algoritlini, every iteration
iiuiiiber was less tlian 15 and it was almost constant.
Froiii this niiiiierical experiment, we coiicliitle that the
iteration numher of tlie F H algorithm niay vary widely
compared with that of the YH algorithm.

In this siihsection. we make numerical experiiiients and

discuss the actiial case computational complexity. We
consider the constantly scaled 'tim control problem for

4.2.1 Randomly generated systems: Coiisider tlie constantly scaled 31, problem with one scaler
scaling parameter, i.e., V = { diag(aI, I) I CT > O }. In
this case, the problem contains one hiaffine constraint
(TA, (a E E, X E 3).We siippose that tlie entire domain is restricted to (cr, A ) E [O.O5, 201 x [&OS, 20).



< fl

of Probleiiis









< Iteration tf >

Fig. 4.1: Iteration tf hy the F H algorithm

4.2.2 ACC-benchmark problem: We next
solve the constantly scaled 3t, prol~lemfor a nieclianical system consisting of two iiiasses connected by a
spring [8], where the block-diagonal matrix set is given

V = { block diag(C,


1 C E PSZ }

Note that tlie order of the generalized plant. is foiir,

and hence tlie iiiatrix size of LMIs to he solved in tlie


5 Conclusion

standard U , problem is 32, coiitaiiiiiig two Lyapuiiov

matrices of size 4 x 4; as variables. Siiiiilarly to tlie
previoiis siibsectioii, we compare tlie FH aiid the YH

In this paper, we have compared tlie iiiat,rix-hased

boiiiidiiig aiid tlie element-wise h ouiicliiig coiiceriiiiig
tlie global optiiiiizatioii for the MPEP. In tlie seqiiel,
we have obtained tlie followiiig facts:

CPU-time ( s )

Fig. 4.2: Iteration

Fig. 4.3: CPU-time

Acknowledgments: Tlie aiitliors woiild like to thank

Prof. Fiijioka of Kyoto Uiiiv. for his helpfiil disciissioiis
aiid valiiahle comments.

Fig. 4.2 coiiipares the number of convex siibprobleiiis

N vs. the inverse of the tolerance l / for
~ the two algorithms. Similarly to the previoiis case, we only counted
the iiiiiiiher of brandies correspoiiding to tlie iiiiiiiber
of lower hoiiiid prohleiiis for tlie F H algorithm. Moreover. the giveii size of doiiiaiii to be soiight for the F H
algorithm is siiialler than t h a t for tlie YH algorithm in
this numerical example in order to iiiake a fair coiiiparisoii. Nevert,lieless, the iteration iiiiiiiber of the YH
algoritliiii is fewer than t h a t for tlie F H algorithm for
each tolerance E .

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System, an,d Con,trol Th.eory, SIAM, 1994.
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33(7):GlG 621, 1997.
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CDC, 440--445, 199G.
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H m d h o o k s in, Operat%on,.s
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Altlioiigli the difference of tlie iteration iiiiiiiher hetween t,lie t,wo algorit,hiiis is not big, there is a sigiiificant difference of the CPU-time shown in Fig. 4.3 aiid
Table 4.2 I d o w , which compare the total CPU-time vs.
I/E aiid the average CPU-time per oiie iteration. respectively. T h e difference is caiised by tlie iiiatrix size
of LMIs aiid tlie iiiiiiiher of variables in each convex
siibprobleiii, i.e., we have to join four additional linear
constrailits per oiie iioiicoiivex constraint to solve oiie
lower hoiiiid problem for the F H algorithm. Siiice tlie
iiiiiiiher of iioiicoiivex constraints is seven for this example, the iiiatrix size of LMI becoiiies G4 for tlie F H
algorithm, althoiigh that in the YH algorithm is given
hy 34.


Avg. CPU-time per oiie iteration ( s )



Tlie iiiatrix size of LMIs aiid tlie iiuiiiber of variables in oiie convex sitbprohleiii for the matrixbased boiiiidiiig is much less than t h a t for
the eleiiieiit-wise bounding. Coiisequeiitly, t h e
speed to solve oiie siihprohlem for the iiiatrixbased boiiiidiiig is much faster than t h a t for the
element-wise boiiiicliiig.
A iiiiiiiber of numerical experiiiients ilhistrates
that tlie perforiiiaiice of the algorithm using tlie
matrix-based boiiiidiiig perform is better even in
tlie actual case.


Table 4.2: Avg. CPU-Time