A Taylor expansion of the square root matrix function

DOI10.1016/J.JMAA.2018.05.005zbMATH Open1401.15009arXiv1705.08561OpenAlexW2963813650MaRDI QIDQ1635587FDOQ1635587

Authors: Pierre Del Moral, Angèle Niclas 

Publication date: 31 May 2018

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Abstract: This short note provides an explicit description of the Fr'echet derivatives of the principal square root matrix functional at any order. We present an original formulation that allows to compute sequentially the Fr'echet derivatives of the matrix square root at any order starting from the first order derivative. A Taylor expansion at any order with an integral remainder term is also provided, yielding the first result of this type for this class of matrix functional.

Full work available at URL: https://arxiv.org/abs/1705.08561

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zbMATH Keywords

Taylor expansionmatrix exponentialSylvester equationspectral and Frobenius normssquare root matricesFréchet derivative

Mathematics Subject Classification ID

Matrix exponential and similar functions of matrices (15A16) Derivatives of functions in infinite-dimensional spaces (46G05) Numerical computation of matrix exponential and similar matrix functions (65F60)

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Cited In (14)

• Functions with positive differences on convex cones
• Singular Lyapunov operator equations: applications to \(C^*\)-algebras, Fréchet derivatives and abstract Cauchy problems
• Rate of homogenization for fully-coupled McKean–Vlasov SDEs
• A perturbation analysis of stochastic matrix Riccati diffusions
• A general Monte Carlo method for multivariate goodness-of-fit testing applied to elliptical families
• A note on Riccati matrix difference equations
• Integral transform methods in goodness-of-fit testing. II: The Wishart distributions
• Exponential Convergence of Sum-of-Squares Hierarchies for Trigonometric Polynomials
• Derivatives of symplectic eigenvalues and a Lidskii type theorem
• Phase diagram of stochastic gradient descent in high-dimensional two-layer neural networks
• Finding global minima via kernel approximations
• Large deviations for interacting multiscale particle systems
• MSE bounds for estimators of matrix functions
• Remote state estimation problem: towards the data-rate limit along the avenue of the second Lyapunov method

Uses Software

• mftoolbox

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