You are here: MIMS > EPrints
MIMS EPrints

2012.88: A black-box rational Arnoldi variant for Cauchy-Stieltjes matrix functions

2012.88: Stefan Güttel and Leonid Knizhnerman (2012) A black-box rational Arnoldi variant for Cauchy-Stieltjes matrix functions.

Full text available as:

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

Abstract

Rational Arnoldi is a powerful method for approximating functions of large sparse matrices times a vector. The selection of asymptotically optimal parameters for this method is crucial for its fast convergence. We present and investigate a novel strategy for the automated parameter selection when the function to be approximated is of Cauchy-Stieltjes (or Markov) type, such as the matrix square root or the logarithm. The performance of this approach is demonstrated by numerical examples involving symmetric and nonsymmetric matrices. These examples suggest that our black-box method performs at least as well, and typically better, as the standard rational Arnoldi method with parameters being manually optimized for a given matrix.

Item Type:MIMS Preprint
Uncontrolled Keywords:rational Arnoldi method, matrix square root, matrix logarithm, optimal parameters
Subjects:MSC 2000 > 65 Numerical analysis
MIMS number:2012.88
Deposited By:Stefan Güttel
Deposited On:16 October 2012

Download Statistics: last 4 weeks
Repository Staff Only: edit this item