Extended Krylov Subspaces: Approximation of the Matrix Square Root and Related Functions
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Problems arising from a solution of elliptic equations by the method of lines are considered. The solution of the following equation \[ Aw-{d^2w\over d\theta^2}=g(\theta)\varphi \] is represented as \(w(\theta)=f(A)\varphi\). The solution \(w\) is approximated by an element of the extended Krylov subspace \[ {\mathcal K}^{k,m}={\mathcal K}^{k,m}(A,\varphi)=\text{span}\{A^{-k+1}\varphi, \ldots,A^{-1}\varphi,\varphi,\ldots,A^{m-1}\varphi\}, \] \[ m\geq 1,\;k\geq 1,\;\text{dim} {\mathcal K}^{k,m}\leq k+m-1 \] The procedure is called extended Krylov subspace method (EKSM). Some functional classes are introduced to handle and establish sufficient conditions for a function \(f\) to belong to the classes. Two examples are also presented. The approximating properties of \({\mathcal K}^{m,m}\) are investigated in a dedicated section. A proof is given for the statement that for functions \(f\) from the family being considered the EKSM using \({\mathcal K}^{m,m}\) takes the number of steps approximately equal to the square root of spectral Lanczos decomposition method to converge. An economical Gram-Schmidt orthogonalization of \({\mathcal K}^{k,m}\) is derived. The EKSM matrix-functional formula is described with ways of its realization. In the final section an example of an application to a 2.5-dimensional elliptic problem arising in the context of geophysical electrical tomography is presented. The experiments indicate that the EKSM benefits from the short orthogonalization recurrence.
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