Generalized averaged Gauss quadrature rules for the approximation of matrix functionals

DOI10.1007/S10543-015-0592-7MaRDI QIDQ329025zbMATH OpenOpenAlexFDO

Authors Miodrag M. Spalević, Tunan Tang, Lothar Reichel

Publication date 21 October 2016

Published in BIT (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10543-015-0592-7

Gauss quadrature generalized averaged Gauss quadrature rule higher accuracy matrix functional non-Hermitian Lanczos process numerical example

Mathematics Subject Classification ID

Approximate quadratures (41A55) Algorithms for approximation of functions (65D15) Numerical quadrature and cubature formulas (65D32) Numerical computation of matrix exponential and similar matrix functions (65F60)

Review text

Let \(A\) be a large square complex matrix and \(u\), \(v\) complex vectors. Further let \(f\) be a function. In many applications, one has to compute the matrix functional \(u^{\ast}f(A)v\). Usually one reduces \(A\) to a small matrix by a few steps of a Lanczos process and then one evaluates the reduced problem. In this paper, the authors discuss the application of generalized averaged Gauss quadrature rules to the approximation of the matrix functional. First matrix functionals \(u^{\ast}f(A)u\) with a Hermitian matrix \(A\) are approximated by generalized averaged Gauss quadrature rule introduced by \textit{M. M. Spalević} [Math. Comput. 76, No. 259, 1483--1492 (2007; Zbl 1113.65025)]. If \(A\) is non-Hermitian, then \(A\) can be reduced to a small non-Hermitian tridiagonal matrix by a few steps of the non-Hermitian Lanczos process. Then the non-Hermitian tridiagonal matrix defines a Gauss-type quadrature rule, and the authors introduce new generalized averaged Gauss quadrature rules, because this yields higher accuracy and requires almost the same computational effort. In numerical examples, the functions \(f(x) = (1 + x^2)^{-1}\), \(e^x\), and \(\log (x+ c)\) with \(c>0\) are considered. Examples from network analysis are given too.

Recommendations

Cites work

Cited in

(39)

Describes a project that uses

Uses Software

This page was built for publication: Generalized averaged Gauss quadrature rules for the approximation of matrix functionals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q329025)