2014.58: An Algorithm for the Matrix Lambert W Function
2014.58: Massimiliano Fasi, Nicholas J. Higham and Bruno Iannazzo (2015) An Algorithm for the Matrix Lambert W Function. SIAM Journal on Matrix Analysis and Applications, 36 (2). pp. 669-685. ISSN 1095-7162
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An algorithm is proposed for computing primary matrix Lambert $W$ functions of a square matrix $A$, which are solutions of the matrix equation $We^W = A$. The algorithm employs the Schur decomposition and blocks the triangular form in such a way that Newton's method can be used on each diagonal block, with a starting matrix depending on the block. A natural simplification of Newton's method for the Lambert $W$ function is shown to be numerically unstable. By reorganizing the iteration a new Newton variant is constructed that is proved to be numerically stable. Numerical experiments demonstrate that the algorithm is able to compute the branches of the matrix Lambert $W$ function in a numerically reliable way.
|Uncontrolled Keywords:||Lambert $W$ function, primary matrix function, Newton method, matrix iteration, numerical stability, Schur--Parlett method|
|Subjects:||MSC 2000 > 15 Linear and multilinear algebra; matrix theory|
MSC 2000 > 65 Numerical analysis
|Deposited By:||Nick Higham|
|Deposited On:||12 July 2015|
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