Estimating the Condition Number of the Frechet Derivative of a Matrix Function

Higham, Nicholas J. and Relton, Samuel D. (2014) Estimating the Condition Number of the Frechet Derivative of a Matrix Function. SIAM Journal on Scientific Computing, 36 (6). C617-C634. ISSN 1064-8275

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Official URL: http://epubs.siam.org/doi/abs/10.1137/130950082

Abstract

The Fr\'{e}chet derivative $L_f$ of a matrix function $f \colon \mathbb{C}^{n\times n} \to \mathbb{C}^{n\times n}$ is used in a variety of applications and several algorithms are available for computing it. We define a condition number for the Fr\'{e}chet derivative and derive upper and lower bounds for it that differ by at most a factor $2$. For a wide class of functions we derive an algorithm for estimating the 1-norm condition number that requires $O(n^3)$ flops given $O(n^3)$ flops algorithms for evaluating $f$ and $L_f$; in practice it produces estimates correct to within a factor $6n$. Numerical experiments show the new algorithm to be much more reliable than a previous heuristic estimate of conditioning.

Item Type: Article
Uncontrolled Keywords: matrix function, condition number, Fr\'{e}chet derivative, Kronecker form, matrix exponential, matrix logarithm, matrix powers, matrix $p$th root, MATLAB, expm, logm, sqrtm
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: 26 Nov 2014
Last Modified: 20 Oct 2017 14:13
URI: http://eprints.maths.manchester.ac.uk/id/eprint/2197

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