Complex matrix inversion via real matrix inversions

arXiv2208.01239MaRDI QIDQ6406708FDOQ6406708

Publication date: 2 August 2022

Abstract: We analyze a complex matrix inversion algorithm first proposed by Frobenius, but largely forgotten:

(A + i B)^{- 1} = (A + B A^{- 1} B)^{- 1} - i A^{- 1} B (A + B A^{- 1} B)^{- 1}

when

A

is invertible and

(A + i B)^{- 1} = B^{- 1} A (A B^{- 1} A + B)^{- 1} - i (A B^{- 1} A + B)^{- 1}

when

B

is invertible. This may be viewed as an inversion analogue of the aforementioned Gauss multiplication. We proved that Frobenius inversion is optimal -- it uses the least number of real matrix multiplications and inversions among all complex matrix inversion algorithms. We also showed that Frobenius inversion runs faster than the standard method based on LU decomposition if and only if the ratio of the running time for real matrix inversion to that for real matrix multiplication is greater than

5 / 4

. We corroborate this theoretical result with extensive numerical experiments, applying Frobenius inversion to evaluate matrix sign function, solve Sylvester equation, and compute polar decomposition, concluding that for these problems, Frobenius inversion is more efficient than LU decomposition with nearly no loss in accuracy.

Mathematics Subject Classification ID

Direct numerical methods for linear systems and matrix inversion (65F05) Symbolic computation and algebraic computation (68W30) Matrices over special rings (quaternions, finite fields, etc.) (15B33)

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