Stability of the Lanczos method for matrix function approximation

MaRDI QIDQ4607994zbMATH OpenFDO

Authors Cameron Musco, Christopher Musco, Aaron Sidford

Publication date 15 March 2018

Full work available at URL https://arxiv.org/abs/1708.07788, http://dl.acm.org/citation.cfm?id=3175410

Mathematics Subject Classification ID

Complexity and performance of numerical algorithms (65Y20) Numerical computation of matrix exponential and similar matrix functions (65F60)

Abstract: The ubiquitous Lanczos method can approximate $f(A)x$ for any symmetric $nimesn$ matrix $A$, vector $x$, and function $f$. In exact arithmetic, the method's error after $k$ iterations is bounded by the error of the best degree-$k$ polynomial uniformly approximating $f(x)$ on the range $[lambd{a}_{min}(A),lambd{a}_{max}(A)]$. However, despite decades of work, it has been unclear if this powerful guarantee holds in finite precision. We resolve this problem, proving that when $ma{x}_{xin[lambd{a}_{min},lambd{a}_{max}]}|f(x)|leC$, Lanczos essentially matches the exact arithmetic guarantee if computations use roughly $log(nC|A|)$ bits of precision. Our proof extends work of Druskin and Knizhnerman [DK91], leveraging the stability of the classic Chebyshev recurrence to bound the stability of any polynomial approximating $f(x)$. We also study the special case of $f(A)=A^{-1}$, where stronger guarantees hold. In exact arithmetic Lanczos performs as well as the best polynomial approximating $1/x$ at each of $A$'s eigenvalues, rather than on the full eigenvalue range. In seminal work, Greenbaum gives an approach to extending this bound to finite precision: she proves that finite precision Lanczos and the related CG method match any polynomial approximating $1/x$ in a tiny range around each eigenvalue [Gre89]. For $A^{-1}$, this bound appears stronger than ours. However, we exhibit matrices with condition number $kappa$ where exact arithmetic Lanczos converges in $polylog(kappa)$ iterations, but Greenbaum's bound predicts $Omega(kapp{a}^{1/5})$ iterations. It thus cannot offer significant improvement over the $O(kapp{a}^{1/2})$ bound achievable via our result. Our analysis raises the question of if convergence in less than $poly(kappa)$ iterations can be expected in finite precision, even for matrices with clustered, skewed, or otherwise favorable eigenvalue distributions.

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Cited in

(16)

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