Optimal Polynomial Approximation to Rational Matrix Functions Using the Arnoldi Algorithm

MaRDI QIDQ6442046zbMATH OpenFDO

Authors Tyler Chen, Anne Greenbaum, Natalie Wellen

Publication date 29 June 2023

Mathematics Subject Classification ID

Numerical range, numerical radius (47A12) Spectral sets of linear operators (47A25) Iterative numerical methods for linear systems (65F10) Numerical computation of matrix exponential and similar matrix functions (65F60)

Abstract: Given an $n$ by $n$ matrix $A$ and an $n$-vector $b$, along with a rational function $R(z):=D(z{)}^{-1}N(z)$, we show how to find the optimal approximation to $R(A)b$ from the Krylov space, $mboxspan(b,Ab,ldots,A^{k-1}b)$, using the basis vectors produced by the Arnoldi algorithm. To find this optimal approximation requires running $maxmboxdeg(D),mboxdeg(N)-1$ extra Arnoldi steps and solving a $k+maxmboxdeg(D),mboxdeg(N)$ by $k$ least squares problem. Here {em optimal} is taken to mean optimal in the $D(A{)}^{\ast }D(A)$-norm. Similar to the case for linear systems, we show that eigenvalues alone cannot provide information about the convergence behavior of this algorithm and we discuss other possible error bounds for highly nonnormal matrices.

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