Zolotarev iterations for the Matrix square Root

DOI10.1137/18M1178529MaRDI QIDQ5232113zbMATH OpenOpenAlexWikidataFDO

Authors Evan S. Gawlik

Publication date 29 August 2019

Published in SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1804.11000

zbMATH Keywords

minimaxNewton iterationrational approximationmatrix square rootChebyshev approximationmatrix iterationZolotarevDenman-Beavers iterationpadé approximation

Mathematics Subject Classification ID

Optimality conditions for minimax problems (49K35) Approximation by rational functions (41A20) Numerical computation of matrix exponential and similar matrix functions (65F60)

Abstract: We construct a family of iterations for computing the principal square root of a square matrix $A$ using Zolotarev's rational minimax approximants of the square root function. We show that these rational functions obey a recursion, allowing one to iteratively generate optimal rational approximants of $sqrtz$ of high degree using compositions and products of low-degree rational functions. The corresponding iterations for the matrix square root converge to $A^{1/2}$ for any input matrix $A$ having no nonpositive real eigenvalues. In special limiting cases, these iterations reduce to known iterations for the matrix square root: the lowest-order version is an optimally scaled Newton iteration, and for certain parameter choices, the principal family of Pad'e iterations is recovered. Theoretical results and numerical experiments indicate that the iterations perform especially well on matrices having eigenvalues with widely varying magnitudes.

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Cited in

(5)

• Iterative methods for computing the matrix square root
• Scaled fixed point algorithm for computing the matrix square root
• Rational minimax iterations for computing the matrix \(p\)th root
• Approximating the \(p\)th root by composite rational functions
• Multivariate rational approximation of functions with curves of singularities

Describes a project that uses

Uses Software

• mftoolbox
• mctoolbox
• FEAST
• DLMF

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