Abstract

New methods are proposed for the numerical evaluation of $f(\mathbf{A})$ or $f(\mathbf{A}) b$, where $f(\mathbf{A})$ is a function such as $\mathbf{A}^{1/2}$ or $\log (\mathbf{A})$ with singularities in $(-\infty,0]$ and $\mathbf{A}$ is a matrix with eigenvalues on or near $(0,\infty)$. The methods are based on combining contour integrals evaluated by the periodic trapezoid rule with conformal maps involving Jacobi elliptic functions. The convergence is geometric, so that the computation of $f(\mathbf{A})b$ is typically reduced to one or two dozen linear system solves, which can be carried out in parallel.

MSC codes

  1. 65F30
  2. 65D30

Keywords

  1. Cauchy integral
  2. conformal map
  3. contour integral
  4. matrix function
  5. quadrature
  6. rational approximation
  7. trapezoid rule

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Information & Authors

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Published In

cover image SIAM Journal on Numerical Analysis
SIAM Journal on Numerical Analysis
Pages: 2505 - 2523
ISSN (online): 1095-7170

History

Submitted: 20 August 2007
Accepted: 21 February 2008
Published online: 11 June 2008

MSC codes

  1. 65F30
  2. 65D30

Keywords

  1. Cauchy integral
  2. conformal map
  3. contour integral
  4. matrix function
  5. quadrature
  6. rational approximation
  7. trapezoid rule

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