Computing $A^\alpha$, $\log(A)$ and Related Matrix Functions by Contour Integrals

Hale, Nicholas and Higham, Nicholas J. and Trefethen, Lloyd N. (2008) Computing $A^\alpha$, $\log(A)$ and Related Matrix Functions by Contour Integrals. SIAM Journal on Numerical Analysis, 46 (5). pp. 2505-2523. ISSN 0036-1429

PDF hht08.pdf Download (442kB)

Abstract

New methods are proposed for the numerical evaluation of $f(\A)$ or $f(\A) b$, where $f(\A)$ is a function such as $\sqrt \A$ or $\log (\A)$ with singularities in $(-\infty,0\kern .7pt ]$ and $\A$ is a matrix with eigenvalues on or near $(0,\infty)$. The methods are based on combining contour integrals evaluated by the periodic trapezoid rule with conformal maps involving Jacobi elliptic functions. The convergence is geometric, so that the computation of $f(\A)b$ is typically reduced to one or two dozen linear system solves.

Item Type:	Article
Uncontrolled Keywords:	matrix function, contour integral, quadrature, rational approximation, trapezoid rule, Cauchy integral, conformal map
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:	18 Aug 2008
Last Modified:	20 Oct 2017 14:12
URI:	https://eprints.maths.manchester.ac.uk/id/eprint/1136

Available Versions of this Item

• Computing $A^\alpha$, $\log(A)$ and Related Matrix Functions by Contour Integrals. (deposited 20 Aug 2007)
  • Computing $A^\alpha$, $\log(A)$ and Related Matrix Functions by Contour Integrals. (deposited 18 Aug 2008) [Currently Displayed]

Actions (login required)

View Item