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2013.1: An Improved Schur--Pade Algorithm for Fractional Powers of a Matrix and their Frechet Derivatives

2013.1: Nicholas J. Higham and Lijing Lin (2013) An Improved Schur--Pade Algorithm for Fractional Powers of a Matrix and their Frechet Derivatives. SIAM. J. Matrix Anal. & Appl., 34 (3). pp. 1341-1360. ISSN 1095-7162

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DOI: 10.1137/130906118

Abstract

The Schur--Padé algorithm [N. J. Higham and L. Lin, A Schur--Padé algorithm for fractional powers of a matrix, SIAM J. Matrix Anal. Appl., 32(3):1056--1078, 2011] computes arbitrary real powers $A^t$ of a matrix $A\in\mathbb{C}^{n\times n}$ using the building blocks of Schur decomposition, matrix square roots, and Padé approximants. We improve the algorithm by basing the underlying error analysis on the quantities $\|(I- A)^k\|^{1/k}$, for several small $k$, instead of $\|I-A\|$. We extend the algorithm so that it computes along with $A^t$ one or more Fréchet derivatives, with reuse of information when more than one Fréchet derivative is required, as is the case in condition number estimation. We also derive a version of the extended algorithm that works entirely in real arithmetic when the data is real. Our numerical experiments show the new algorithms to be superior in accuracy to, and often faster than, the original Schur--Padé algorithm for computing matrix powers and more accurate than several alternative methods for computing the Fréchet derivative. They also show that reliable estimates of the condition number of $A^t$ are obtained by combining the algorithms with a matrix norm estimator.

Item Type:Article
Uncontrolled Keywords:matrix power, fractional power, matrix root, Fréchet derivative, condition number, condition estimate, Schur decomposition, Padé approximation, Padé approximant, matrix logarithm, matrix exponential, MATLAB
Subjects:MSC 2000 > 15 Linear and multilinear algebra; matrix theory
MSC 2000 > 65 Numerical analysis
MIMS number:2013.1
Deposited By:Dr Lijing Lin
Deposited On:18 September 2013

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