AlMohy, Awad H. and Higham, Nicholas J. and Relton, Samuel D. (2012) Computing the Frechet Derivative of the Matrix Logarithm and Estimating the Condition Number. [MIMS Preprint]
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Abstract
The most popular method for computing the matrix logarithm is the inverse scaling and squaring method, which is the basis of the recent algorithm of [A. H. AlMohy and N. J. Higham, \emph{Improved inverse scaling and squaring algorithms for the matrix logarithm}, SIAM J. Sci.\ Comput., 34 (2012), pp.~C152C169]. For real matrices we develop a version of the latter algorithm that works entirely in real arithmetic and is twice as fast as and more accurate than the original algorithm. We show that by differentiating the algorithms we obtain backward stable algorithms for computing the Fr\'echet derivative. We demonstrate experimentally that our two algorithms are more accurate and efficient than existing algorithms for computing the Fr\'echet derivative and we also show how the algorithms can be used to produce reliable estimates of the condition number of the matrix logarithm.
Item Type:  MIMS Preprint 

Uncontrolled Keywords:  matrix logarithm, principal logarithm, inverse scaling and squaring method, Fr\'{e}chet derivative, condition number, Pad\'{e} approximation, backward error analysis, matrix exponential, matrix square root, MATLAB, logm. 
Subjects:  MSC 2010, the AMS's Mathematics Subject Classification > 15 Linear and multilinear algebra; matrix theory MSC 2010, the AMS's Mathematics Subject Classification > 65 Numerical analysis 
Depositing User:  Nick Higham 
Date Deposited:  13 Dec 2012 
Last Modified:  08 Nov 2017 18:18 
URI:  http://eprints.maths.manchester.ac.uk/id/eprint/1931 
Available Versions of this Item

Computing the Frechet Derivative of the Matrix Logarithm
and Estimating the Condition Number. (deposited 25 Jul 2012)
 Computing the Frechet Derivative of the Matrix Logarithm and Estimating the Condition Number. (deposited 13 Dec 2012) [Currently Displayed]
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