## 2009.31: The Complex Step Approximation to the Fréchet Derivative of a Matrix Function

2009.31:
Awad H. Al-Mohy and Nicholas J. Higham
(2009)
*The Complex Step Approximation to the Fréchet Derivative of a Matrix Function.*

There is a more recent version of this eprint available. Click here to view it.

Full text available as:

PDF - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader 181 Kb |

## Abstract

We show that the Fréchet derivative of a matrix function $f$ at $A$ in the direction $E$, where $A$ and $E$ are real matrices, can be approximated by $\Im f(A+ihE)/h$ for some suitably small $h$. This approximation, requiring a single function evaluation at a complex argument, generalizes the complex step approximation known in the scalar case. The approximation is proved to be of second order in $h$ for analytic functions $f$ and also for the matrix sign function. It is shown that it does not suffer the inherent cancellation that limits the accuracy of finite difference approximations in floating point arithmetic. However, cancellation does nevertheless vitiate the approximation when the underlying method for evaluating $f$ employs complex arithmetic. The ease of implementation of the approximation, and its superiority over finite differences, make it attractive when specialized methods for evaluating the Fréchet derivative are not available, and in particular for condition number estimation when used in conjunction with a block 1-norm estimation algorithm.

Item Type: | MIMS Preprint |
---|---|

Additional Information: | To appear in Numerical Algorithms |

Uncontrolled Keywords: | Fr\'echet derivative, matrix function, complex step approximation, complex arithmetic, finite difference, matrix sign function, condition number estimation, block 1-norm estimator, CICADA |

Subjects: | MSC 2000 > 15 Linear and multilinear algebra; matrix theory MSC 2000 > 65 Numerical analysis |

MIMS number: | 2009.31 |

Deposited By: | Nick Higham |

Deposited On: | 02 October 2009 |

### Available Versions of this Item

- The Complex Step Approximation to the Fréchet Derivative of a Matrix Function (deposited 17 November 2009)
- The Complex Step Approximation to the Fréchet Derivative of a Matrix Function (deposited 02 October 2009)
**[Currently Displayed]** - The Complex Step Approximation to the Fréchet Derivative of a Matrix Function (deposited 27 April 2009)

- The Complex Step Approximation to the Fréchet Derivative of a Matrix Function (deposited 02 October 2009)

Download Statistics: last 4 weeks

Repository Staff Only: edit this item