Approximation of functions of large matrices with Kronecker structure
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Publication:504162
Abstract: We consider the numerical approximation of where and is the sum of Kronecker products, that is . Here is a regular function such that is well defined. We derive a computational strategy that significantly lowers the memory requirements and computational efforts of the standard approximations, with special emphasis on the exponential function, for which the new procedure becomes particularly advantageous. Our findings are illustrated by numerical experiments with typical functions used in applications.
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