Short recurrences for computing extended Krylov bases for Hermitian and unitary matrices (Q495542)

It is proved that for a given matrix \(A \in \mathbb{C}^{n \times n}\) and a vector \(h \in \mathbb{C}^n\) the projection of \(A\) onto an extended Krylov space \(\text{span}\{ A^{-n_r}h, \dots , A^{-2}h, A^{-1}h,h, Ah , A^2h, \dots , A^{n_\ell} h\}\) (\(n_r + n_\ell = n-1\)) results in an extended Hessenberg matrix. It is shown that this is a matrix which contains overlapping blocks on the diagonal, where the blocks are alternatingly of Hessenberg and inverse Hessenberg form. In the case of unitary matrices an algorithm for computing an orthonormal basis for an extended Krylov subspace is proposed. The algorithm is based on coupled two term recurrence relations. Furthermore, it is shown that the extended Hessenberg matrix is banded, when \(A\) is Hermitian or unitary.