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URN: urn:nbn:de:swb:90-311919

Residual, Restarting and Richardson Iteration for the Matrix Exponential

Botchev, Mike A.; Grimm, Volker; Hochbruck, Marlis

A well-known problem in computing some matrix functions iteratively is the lack of a clear, commonly accepted residual notion. An important matrix function for which this is the case is the matrix exponential. Suppose the matrix exponential of a given matrix times a given vector has to be computed. We develop the approach of Druskin, Greenbaum and Knizhnerman (1998) and interpret the sought-after vector as the value of a vector function satisfying the linear system of ordinary differential equations (ODE) whose coefficients form the given matrix. The residual is then defined with respect to the initial-value problem for this ODE system. The residual introduced in this way can be seen as a backward error. We show how the residual can be computed efficiently within several iterative methods for the matrix exponential. This resolves the question of reliable stopping criteria for these methods. Further, we show that the residual concept can be used to construct new residual-based iterative methods. In particular, a variant of the Richardson method for the new residual appears to provide an efficient way to restart Krylov subspace method ... mehr

Zugehörige Institution(en) am KIT Institut für Angewandte und Numerische Mathematik (IANM)
Publikationstyp Forschungsbericht
Jahr 2012
Sprache Englisch
Identifikator KITopen ID: 1000031191
Verlag KIT, Karlsruhe
Serie Preprint. Institut für Wissenschaftliches Rechnen und Mathematische Modellbildung, Karlsruher Institut für Technologie ; 2012,10
Schlagworte matrix exponential, residual, Krylov subspace methods, restarting, Chebyshev polynomials, stopping criterion, Richardson iteration, backward stability, matrix cosine
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