Pencils of Semi-Infinite Matrices and Orthogonal Polynomials

Semi-infinite matrices, generalized eigenvalue problems, and orthogonal polynomials are closely related subjects. They connect different domains in mathematics—matrix theory, operator theory, analysis, differential equations, etc. The classical examples are Jacobi and Hessenberg matrices, which lead to orthogonal polynomials on the real line (OPRL) and orthogonal polynomials on the unit circle (OPUC). Recently there turned out that pencils (i.e., operator polynomials) of semi-infinite matrices are related to various orthogonal systems of functions. Our aim here is to survey this increasing subject. We are mostly interested in pencils of symmetric semi-infinite matrices. The corresponding polynomials are defined as generalized eigenvectors of the pencil. These polynomials possess special orthogonality relations. They have physical and mathematical applications that will be discussed. Examples show that there is an unclarified relation to Sobolev orthogonal polynomials. This intriguing connection is a challenge for further investigations.