A posteriori error estimates of Krylov subspace approximations to matrix functions

DOI10.1007/S11075-014-9878-0zbMATH Open1331.65069arXiv1307.7219OpenAlexW3105157329MaRDI QIDQ2346271FDOQ2346271

Authors: Zhongxiao Jia, Hui Lv 

Publication date: 1 June 2015

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

Abstract: Krylov subspace methods for approximating a matrix function $f(A)$ times a vector $v$ are analyzed in this paper. For the Arnoldi approximation to $e^{-auA}v$, two reliable a posteriori error estimates are derived from the new bounds and generalized error expansion we establish. One of them is similar to the residual norm of an approximate solution of the linear system, and the other one is determined critically by the first term of the error expansion of the Arnoldi approximation to $e^{-auA}v$ due to Saad. We prove that each of the two estimates is reliable to measure the true error norm, and the second one theoretically justifies an empirical claim by Saad. In the paper, by introducing certain functions $ph{i}_k(z)$ defined recursively by the given function $f(z)$ for certain nodes, we obtain the error expansion of the Krylov-like approximation for $f(z)$ sufficiently smooth, which generalizes Saad's result on the Arnoldi approximation to $e^{-auA}v$. Similarly, it is shown that the first term of the generalized error expansion can be used as a reliable a posteriori estimate for the Krylov-like approximation to some other matrix functions times $v$. Numerical examples are reported to demonstrate the effectiveness of the a posteriori error estimates for the Krylov-like approximations to $e^{-auA}v$, $cos(A)v$ and $sin(A)v$.

Full work available at URL: https://arxiv.org/abs/1307.7219

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zbMATH Keywords

error boundsnumerical examplesa posteriori error estimateserror expansionKrylov subspace methodHermitian matricesmatrix functionsmatrix exponentialmatrix cosinematrix sineKrylov-like approximation

Mathematics Subject Classification ID

Iterative numerical methods for linear systems (65F10) Matrix exponential and similar functions of matrices (15A16) Numerical computation of matrix exponential and similar matrix functions (65F60)

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Cited In (15)

• Error bounds and estimates for Krylov subspace approximations of Stieltjes matrix functions
• Error Estimates for Polynomial Krylov Approximations to Matrix Functions
• Error Bounds for Lanczos-Based Matrix Function Approximation
• Krylov subspace approximations for the exponential Euler method: error estimates and the harmonic Ritz approximant
• Stopping Criteria for Rational Matrix Functions of Hermitian and Symmetric Matrices
• A study of defect-based error estimates for the Krylov approximation of \(\varphi\)-functions
• An estimate of approximation of a matrix-valued function by an interpolation polynomial
• A posteriorierror estimators for linear reduced-order models using Krylov-based integrators
• Frequency-limited balanced truncation with low-rank approximations
• Error estimates for Krylov subspace approximations of matrix exponentials
• The error analysis of the Krylov subspace methods for computing the bilinear form of matrix functions
• \textit{TimeEvolver}: a program for time evolution with improved error bound
• Approximation of the linear combination of \(\varphi \)-functions using the block shift-and-invert Krylov subspace method
• The Surrogate Matrix Methodology: A Priori Error Estimation
• Computable upper error bounds for Krylov approximations to matrix exponentials and associated \(\varphi\)-functions

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