Computing the matrix exponential with the double exponential formula

MaRDI QIDQ6441405zbMATH OpenFDO

Authors Fuminori Tatsuoka, Tomohiro Sogabe, Tomoya Kemmochi, Shao-Liang Zhang

Publication date 25 June 2023

Has companion code repository https://github.com/f-ttok/article-expmde

Abstract: This paper considers the computation of the matrix exponential $mathrm{e}^A$ with numerical quadrature. Although several quadrature-based algorithms have been proposed, they focus on (near) Hermitian matrices. In order to deal with non-Hermitian matrices, we use another integral representation including an oscillatory term and consider applying the double exponential (DE) formula specialized to Fourier integrals. The DE formula transforms the given integral into another integral whose interval is infinite, and therefore it is necessary to truncate the infinite interval. In this paper, to utilize the DE formula, we analyze the truncation error and propose two algorithms. The first one approximates $mathrm{e}^A$ with the fixed mesh size which is a parameter in the DE formula affecting the accuracy. Second one computes $mathrm{e}^A$ based on the first one with automatic selection of the mesh size depending on the given error tolerance.

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