On the rational approximation of Markov functions, with applications to the computation of Markov functions of Toeplitz matrices

DOI10.1007/S11075-022-01256-4zbMATH Open1497.65081arXiv2106.05098OpenAlexW4226145158WikidataQ114224286 ScholiaQ114224286MaRDI QIDQ2163448FDOQ2163448

Authors: Yanyan Li 

Publication date: 10 August 2022

Published in: Numerical Algorithms (Search for Journal in Brave)

Abstract: We investigate the problem of approximating the matrix function $f(A)$ by $r(A)$, with $f$ a Markov function, $r$ a rational interpolant of $f$, and $A$ a symmetric Toeplitz matrix. In a first step, we obtain a new upper bound for the relative interpolation error $1-r/f$ on the spectral interval of $A$. By minimizing this upper bound over all interpolation points, we obtain a new, simple and sharp a priori bound for the relative interpolation error. We then consider three different approaches of representing and computing the rational interpolant $r$. Theoretical and numerical evidence is given that any of these methods for a scalar argument allows to achieve high precision, even in the presence of finite precision arithmetic. We finally investigate the problem of efficiently evaluating $r(A)$, where it turns out that the relative error for a matrix argument is only small if we use a partial fraction decomposition for $r$ following Antoulas and Mayo. An important role is played by a new stopping criterion which ensures to automatically find the degree of $r$ leading to a small error, even in presence of finite precision arithmetic.

Full work available at URL: https://arxiv.org/abs/2106.05098

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zbMATH Keywords

rational interpolationmatrix functionToeplitz matricesMarkov functionpositive Thiele continued fractions

Mathematics Subject Classification ID

Matrix exponential and similar functions of matrices (15A16) Toeplitz, Cauchy, and related matrices (15B05) Numerical computation of matrix exponential and similar matrix functions (65F60)

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Cited In (5)

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Uses Software

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