Using Nonorthogonal Lanczos Vectors in the Computation of Matrix Functions
The Lanczos algorithm uses a three-term recurrence to construct an orthonormal basis for the Krylov space corresponding to a symmetric matrix \(A\) and a nonzero starting vector \(\varphi\). The Lanczos vectors and recurrence coefficients are used for a number of purposes, including solving linear systems \(Au=\varphi\) and computing the matrix exponential \(e^{-tA}\varphi\). An analysis is made showing why the Lanczos vectors produced in finite precision arithmetic can be used effectively for solving linear systems and computing the matrix exponential. This analysis make use of complicated results about the spectra of the tridiagonal matrices produced by the Lanczos algorithm in finite precision arithmetic. The finite precision model to be analyzed is defined. It is shown that for this model the residual norm is almost completely determined by the tridiagonal matrix and the next recurrence coefficient generated by the finite precision Lanczos computation. This result is used to compare the residuals from finite precision computations to those of the exact algorithms applied to a different problem. This comparison is extended to compare nonoptimal approximations to the optimal approximations of a slightly lower degree for this different problem. Error bounds for the finite precision computation are derived and compared with those of exact arithmetic, and a new arithmetic error bound is proved, showing that the Lanczos approximation of real stable matrix exponentials is close to optimal.
- When does the Lanczos algorithm compute exactly?
- Krylov subspace approximation of eigenpairs and matrix functions in exact and computer arithmetic
- Stability of the Lanczos method for matrix function approximation
- Preconditioning Lanczos Approximations to the Matrix Exponential
- Lanczos algorithms for large scale symmetric and nonsymmetric matrix eigenvalue problems
- Approximation of matrix operators applied to multiple vectors
- Numerical methods for the QCDd overlap operator. I: Sign-function and error bounds
- Exponential Krylov time integration for modeling multi-frequency optical response with monochromatic sources
- A polynomial method based on Fejér points for the computation of functions of unsymmetric matrices
- Iterative across-time solution of linear differential equations: Krylov subspace versus waveform relaxation
- An accurate restarting for shift-and-invert Krylov subspaces computing matrix exponential actions of nonsymmetric matrices
- A study of defect-based error estimates for the Krylov approximation of \(\varphi\)-functions
- When does the Lanczos algorithm compute exactly?
- Exponential time differencing for mimetic multilayer Ocean models
- ART: adaptive residual-time restarting for Krylov subspace matrix exponential evaluations
- Computable upper error bounds for Krylov approximations to matrix exponentials and associated \(\varphi\)-functions
- On the algorithm by Al-Mohy and Higham for computing the action of the matrix exponential: a posteriori roundoff error estimation
- On the stability of some algorithms for computing the action of the matrix exponential
- \textit{TimeEvolver}: a program for time evolution with improved error bound
- Efficient computation of the exponential operator for large, sparse, symmetric matrices
- THE COMPUTATION OF FUNCTIONS OF MATRICES BY TRUNCATED FABER SERIES
- Rational Krylov approximation of matrix functions: numerical methods and optimal pole selection
- A block Krylov subspace time-exact solution method for linear ordinary differential equation systems.
- A framework of the harmonic Arnoldi method for evaluating \(\varphi\)-functions with applications to exponential integrators
- A new investigation of the extended Krylov subspace method for matrix function evaluations
- A black-box rational Arnoldi variant for Cauchy-Stieltjes matrix functions
- Stability of the Lanczos method for matrix function approximation
- Krylov subspace approximation of eigenpairs and matrix functions in exact and computer arithmetic
- Error bounds for the Lanczos methods for approximating matrix exponentials
- Exponential Time Integrators for Unsteady Advection–Diffusion Problems on Refined Meshes
- The short-term rational Lanczos method and applications
- On the Convergence Rate of Variants of the Conjugate Gradient Algorithm in Finite Precision Arithmetic
- Residual and restarting in Krylov subspace evaluation of the function
- Error bounds for the Krylov subspace methods for computations of matrix exponentials
- Preconditioning Lanczos Approximations to the Matrix Exponential
- Error Bounds for Lanczos-Based Matrix Function Approximation
- An interpolatory approximation of the matrix exponential based on Faber polynomials
- Limited‐memory polynomial methods for large‐scale matrix functions
- Low-Memory Krylov Subspace Methods for Optimal Rational Matrix Function Approximation
- Coarse Grid Corrections in Krylov Subspace Evaluations of the Matrix Exponential
- Krylov Subspace Restarting for Matrix Laplace Transforms
- Near-optimal convergence of the full orthogonalization method
- Evaluation of matrix functions with the block Lanczos algorithm
- Fast randomized least-squares solvers can be just as accurate and stable as classical direct solvers
- Near instance optimality of the Lanczos method for Stieltjes and related matrix functions
- Monotonicity, bounds and acceleration of block Gauss and Gauss-Radau quadrature for computing B^T (A)B
- An iterative method to compute the sign function of a non-Hermitian matrix and its application to the overlap Dirac operator at nonzero chemical potential
- Randomized block-Krylov subspace methods for low-rank approximation of matrix functions
- Optimal near-optimality bounds for the Lanczos method for matrix functions
- Stable algorithms for general linear systems by preconditioning the normal equations
- Explicit adaptive time stepping for the Cahn-Hilliard equation by exponential Krylov subspace and Chebyshev polynomial methods
- Wavelet compression for sampling deep Gaussian processes
- Krylov subspace exponential time domain solution of Maxwell's equations in photonic crystal modeling
- On monotonicity of the Lanczos approximation to the matrix exponential
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