Monotone convergence of the Lanczos approximations to matrix functions of Hermitian matrices

MaRDI QIDQ964099zbMATH OpenFDO

Authors Andreas Frommer

Publication date 14 April 2010

Published in ETNA - Electronic Transactions on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/226548, http://www.emis.de/journals/ETNA/vol.35.2009/pp118-128.dir/pp118-128.pdf

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zbMATH Keywords

error estimatesGalerkin approximationHermitian complex matrixKrylov subspacematrix functionsmonotone convergencespectral Lanczos decomposition method

Mathematics Subject Classification ID

Matrix exponential and similar functions of matrices (15A16) Hermitian, skew-Hermitian, and related matrices (15B57) Iterative numerical methods for linear systems (65F10)

Review text

The author proposes a method for computing \(f(A)b\), where \(b\) is an \(n\)-dimensional complex vector, \(f(A)\) a matrix function and \(A\) an \(n \times n\) Hermitian complex matrix. The value \(f(A)b\) is approximated by evaluating the matrix function on a Krylov subspace, via the spectral Lanczos decomposition method.

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Cited in

(12)

• Fast random field generation with \(H\)-matrices
• Estimating the error in matrix function approximations
• A posteriori error estimates of Krylov subspace approximations to matrix functions
• Rational Gauss quadrature rules for the approximation of matrix functionals involving Stieltjes functions
• Monotone convergence of the extended Krylov subspace method for Laplace-Stieltjes functions of Hermitian positive definite matrices
• A new investigation of the extended Krylov subspace method for matrix function evaluations
• Computing f(A)b via least squares polynomial approximations
• Error bounds and estimates for Krylov subspace approximations of Stieltjes matrix functions
• A comparison of limited-memory Krylov methods for Stieltjes functions of Hermitian matrices
• Monotonicity, bounds and acceleration of block Gauss and Gauss-Radau quadrature for computing B^T (A)B
• Approximate iterations for structured matrices
• On monotonicity of the Lanczos approximation to the matrix exponential

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