2007.103: Computing $A^\alpha$, $\log(A)$ and Related Matrix Functions by Contour Integrals
2007.103: Nicholas Hale, Nicholas J. Higham and Lloyd N. Trefethen (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
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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.
|Uncontrolled Keywords:||matrix function, contour integral, quadrature, rational approximation, trapezoid rule, Cauchy integral, conformal map|
|Subjects:||MSC 2000 > 15 Linear and multilinear algebra; matrix theory|
MSC 2000 > 65 Numerical analysis
|Deposited By:||Nick Higham|
|Deposited On:||18 August 2008|
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