The Hamiltonian Extended Krylov Subspace Method

MaRDI QIDQ6392138arXivFDO

Authors Peter Benner, Heike Faßbender, Michel-Niklas Senn

Publication date 25 February 2022

Mathematics Subject Classification ID

Computational methods for sparse matrices (65F50) Factorization of matrices (15A23) Orthogonalization in numerical linear algebra (65F25) Numerical computation of matrix exponential and similar matrix functions (65F60)

Abstract: An algorithm for constructing a $J$-orthogonal basis of the extended Krylov subspace $$ $ldots,$ $$ where $Hinmathbb{R}^{2nimes2n}$ is a large (and sparse) Hamiltonian matrix is derived (for $r=s+1$ or $r=s$). Surprisingly, this allows for short recurrences involving at most five previously generated basis vectors. Projecting $H$ onto the subspace $mathcal{K}_{r,s}$ yields a small Hamiltonian matrix. The resulting HEKS algorithm may be used in order to approximate $f(H)u$ where $f$ is a function which maps the Hamiltonian matrix $H$ to, e.g., a (skew-)Hamiltonian or symplectic matrix. Numerical experiments illustrate that approximating $f(H)u$ with the HEKS algorithm is competitive for some functions compared to the use of other (structure-preserving) Krylov subspace methods.

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