Calculating a function of a matrix with a real spectrum

DOI10.1007/S11075-021-01214-6MaRDI QIDQ2672712zbMATH OpenOpenAlexFDO

Authors P. Kubelík, V. G. Kurbatov, I. V. Kurbatova

Publication date 13 June 2022

Published in Numerical Algorithms (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2105.15173

zbMATH Keywords

divided differencesmatrix functionmultiprecision arithmeticpolynomial interpolationreorderingSchur-Parlett algorithm

Mathematics Subject Classification ID

Matrix exponential and similar functions of matrices (15A16) Numerical computation of matrix exponential and similar matrix functions (65F60)

Abstract: Let $T$ be a square matrix with a real spectrum, and let $f$ be an analytic function. The problem of the approximate calculation of $f(T)$ is discussed. Applying the Schur triangular decomposition and the reordering, one can assume that $T$ is triangular and its diagonal entries $t_{ii}$ are arranged in increasing order. To avoid calculations using the differences $t_{ii}-t_{jj}$ with close (including equal) $t_{ii}$ and $t_{jj}$, it is proposed to represent $T$ in a block form and calculate the two main block diagonals using interpolating polynomials. The rest of the $f(T)$ entries can be calculated using the Parlett recurrence algorithm. It is also proposed to perform scalar operations (such as the building of interpolating polynomials) with an enlarged number of decimal digits.

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Cited in

(5)

• Computation of a function of a matrix with close eigenvalues by means of the Newton interpolating polynomial
• On the matrix functions
• Approximate diagonalization in differential systems and an effective algorithm for the computation of the spectral matrix
• Generalized Clenshaw-Curtis quadrature method for systems of linear ODEs with constant coefficients
• Approximate finding of the differential of the operation of calculating a matrix function

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Uses Software

• Mathematica
• mftoolbox
• funm
• mctoolbox

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