The Radau-Lanczos method for matrix functions

DOI10.1137/16M1072565MaRDI QIDQ5348226zbMATH OpenOpenAlexWikidataFDO

Authors Andreas Frommer, Kathryn Lund, Marcel Schweitzer, Daniel B. Szyld

Publication date 14 August 2017

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

Full work available at URL https://doi.org/10.1137/16m1072565

zbMATH Keywords

convergenceerror boundGauss-Radau quadratureGaussian quadratureHermitian positive definite matricesKrylov subspace methodsmatrix functionsnumerical experimentrestarted Lanczos method

Mathematics Subject Classification ID

Positive matrices and their generalizations; cones of matrices (15B48) Hermitian, skew-Hermitian, and related matrices (15B57) Numerical quadrature and cubature formulas (65D32) Numerical computation of matrix exponential and similar matrix functions (65F60)

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Cites work

• A Restarted Krylov Subspace Method for the Evaluation of Matrix Functions
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• Analysis of Some Krylov Subspace Approximations to the Matrix Exponential Operator
• Approximate solutions and eigenvalue bounds from Krylov subspaces
• Convergence of Restarted Krylov Subspace Methods for Stieltjes Functions of Matrices
• Deflated restarting for matrix functions
• Efficient and stable Arnoldi restarts for matrix functions based on quadrature
• Error bounds and estimates for Krylov subspace approximations of Stieltjes matrix functions
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• Some Modified Matrix Eigenvalue Problems

Cited in

(9)

• New matrix function approximations and quadrature rules based on the Arnoldi process
• A restarted Lanczos approximation to functions of a symmetric matrix
• The short-term rational Lanczos method and applications
• Block Krylov subspace methods for functions of matrices. II: Modified block FOM
• An Algorithm for the Matrix Lambert W Function
• Limited‐memory polynomial methods for large‐scale matrix functions
• Low-Memory Krylov Subspace Methods for Optimal Rational Matrix Function Approximation
• Monotonicity, bounds and acceleration of block Gauss and Gauss-Radau quadrature for computing B^T (A)B
• A matrix decomposition RBF algorithm: approximation of functions and their derivatives

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Uses Software

• mftoolbox

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