The scaling, splitting, and squaring method for the exponential of perturbed matrices

DOI10.1137/14098003XMaRDI QIDQ5254396zbMATH OpenOpenAlexFDO

Authors P. Bader, Sergio Blanes, Muaz Seydaoğlu

Publication date 9 June 2015

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

Full work available at URL https://arxiv.org/abs/1407.7485

zbMATH Keywords

backward error analysismatrix exponentialPadé approximationscaling and squaring methodsplitting method

Mathematics Subject Classification ID

Numerical computation of matrix exponential and similar matrix functions (65F60)

Abstract: We propose splitting methods for the computation of the exponential of perturbed matrices which can be written as the sum $A=D+varepsilonB$ of a sparse and efficiently exponentiable matrix $D$ with sparse exponential $e^D$ and a dense matrix $varepsilonB$ which is of small norm in comparison with $D$. The predominant algorithm is based on scaling the large matrix $A$ by a small number $2^{-s}$, which is then exponentiated by efficient Pad'e or Taylor methods and finally squared in order to obtain an approximation for the full exponential. In this setting, the main portion of the computational cost arises from dense-matrix multiplications and we present a modified squaring which takes advantage of the smallness of the perturbed matrix $B$ in order to reduce the number of squarings necessary. Theoretical results on local error and error propagation for splitting methods are complemented with numerical experiments and show a clear improvement over existing methods when medium precision is sought.

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Cited in

(12)

• Exponential dichotomy on the real line: SVD and QR methods
• Scaling technique for partition-Nekrasov matrices
• A new efficient and accurate spline algorithm for the matrix exponential computation
• Computing the matrix sine and cosine simultaneously with a reduced number of products
• An efficient Strang splitting technique combined with the multiquadric-radial basis function for the Burgers' equation
• Efficient implementation of partitioned stiff exponential Runge-Kutta methods
• scientific article; zbMATH DE number 687752 (Why is no real title available?)
• High-performance computation of the exponential of a large sparse matrix
• An Arbitrary Precision Scaling and Squaring Algorithm for the Matrix Exponential
• Computing exponential for iterative splitting methods: algorithms and applications
• Efficient scaling and squaring method for the matrix exponential
• An accurate approximation algorithm for Burgers' equation in the presence of small viscosity

Describes a project that uses

Uses Software

• Expokit
• MATLAB expm

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