RD-rational approximations of the matrix exponential (Q1770930): Difference between revisions
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Latest revision as of 11:01, 30 July 2024
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English | RD-rational approximations of the matrix exponential |
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RD-rational approximations of the matrix exponential (English)
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7 April 2005
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Given a square matrix \(A\) and a vector \(v\), the authors propose two methods for approximating the function \(\exp(-tA) v\). Both methods are based on the Krylov subspace of the matrix \(Z = (I+hA)^{-1}\) applied to \(v\) for some fixed parameter \(h\). If \(V\) denotes an orthonormal basis of this Krylov subspace then the first method (called Arnoldi RD-method) uses the approximation \(V \exp(-\frac t h (H^{-1}-I)) V^T v\), where \(H = V^T A V\). This is shown to be closely related with the polynomial interpolation of the function \(f(z) = \exp(-\frac t h (1/z-1))\) in the eigenvalues of \(H\). The other method (called Arnoldi RF-method) is obtained by using the zeros of Faber polynomials as interpolation points. Some error bounds are provided and numerical experiments compare the two methods with other existing methods for approximating \(\exp(-tA) v\), such as the classical Krylov subspace method and Padé approximations.
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Krylov subspace methods
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matrix exponential
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rational approximation
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comparison of methods
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Arnoldi RD-method
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Arnoldi RF-method
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Faber polynomials
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error bounds
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numerical experiments
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Padé approximations
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