Computing the matrix fractional power with the double exponential formula

DOI10.1553/ETNA_VOL54S558MaRDI QIDQ2055512zbMATH OpenOpenAlexWikidataFDO

Authors Fuminori Tatsuoka, Tomohiro Sogabe, Yuto Miyatake, Tomoya Kemmochi, Shao-Liang Zhang

Publication date 1 December 2021

Published in ETNA - Electronic Transactions on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2012.01667, http://etna.mcs.kent.edu/volumes/2021-2030/vol54/abstract.php?vol=54&pages=558-580

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zbMATH Keywords

double exponential formulamatrix fractional powermatrix functionnumerical quadrature

Mathematics Subject Classification ID

Numerical integration (65D30) Numerical computation of matrix exponential and similar matrix functions (65F60)

Abstract: Two quadrature-based algorithms for computing the matrix fractional power $A^{a}lpha$ are presented in this paper. These algorithms are based on the double exponential (DE) formula, which is well-known for its effectiveness in computing improper integrals as well as in treating nearly arbitrary endpoint singularities. The DE formula transforms a given integral into another integral that is suited for the trapezoidal rule; in this process, the integral interval is transformed to the infinite interval. Therefore, it is necessary to truncate the infinite interval into an appropriate finite interval. In this paper, a truncation method, which is based on a truncation error analysis specialized to the computation of $A^{a}lpha$, is proposed. Then, two algorithms are presented -- one computes $A^{a}lpha$ with a fixed number of abscissas, and the other computes $A^{a}lpha$ adaptively. Subsequently, the convergence rate of the DE formula for Hermitian positive definite matrices is analyzed. The convergence rate analysis shows that the DE formula converges faster than the Gaussian quadrature when $A$ is ill-conditioned and $alpha$ is a non-unit fraction. Numerical results show that our algorithms achieved the required accuracy and were faster than other algorithms in several situations.

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Cited in

(10)

• Efficient computation of matrix power-vector products: application for space-fractional diffusion problems
• Algorithms for the computation of the matrix logarithm based on the double exponential formula
• On fractional matrix exponentials and their explicit calculation
• Fast computation of the fractional power of a matrix
• On the computation of the matrix function in the von Neumann entropy with the double exponential formula
• Computation of the exponential function of matrices by a formula without oscillatory integrals on infinite intervals
• Double exponential transformation: a quick review of a Japanese tradition
• Performance of the shifted minimal residual method for multiply shifted linear systems with real symmetric or complex Hermitian coefficient matrices
• Computing the Mittag-Leffler function of a matrix argument
• Computing the matrix exponential with the double exponential formula

Describes a project that uses

Uses Software

• SparseMatrix

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