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A black-box rational Arnoldi variant for Cauchy-Stieltjes matrix functions. (English) Zbl 1276.65026

Summary: Rational Arnoldi is a powerful method for approximating functions of large sparse matrices times a vector. The selection of asymptotically optimal parameters for this method is crucial for its fast convergence. We present and investigate a novel strategy for the automated parameter selection when the function to be approximated is of Cauchy-Stieltjes (or Markov) type, such as the matrix square root or the logarithm. The performance of this approach is demonstrated by numerical examples involving symmetric and nonsymmetric matrices. These examples suggest that our black-box method performs at least as well, and typically better, as the standard rational Arnoldi method with parameters being manually optimized for a given matrix.

MSC:

65F60 Numerical computation of matrix exponential and similar matrix functions
65F30 Other matrix algorithms (MSC2010)
15A16 Matrix exponential and similar functions of matrices

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