On the rational approximation of Markov functions, with applications to the computation of Markov functions of Toeplitz matrices
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Abstract: We investigate the problem of approximating the matrix function by , with a Markov function, a rational interpolant of , and a symmetric Toeplitz matrix. In a first step, we obtain a new upper bound for the relative interpolation error on the spectral interval of . 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 . 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 , where it turns out that the relative error for a matrix argument is only small if we use a partial fraction decomposition for following Antoulas and Mayo. An important role is played by a new stopping criterion which ensures to automatically find the degree of leading to a small error, even in presence of finite precision arithmetic.
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