Stability of the generalized polar decomposition method for the approximation of the matrix exponential. (English) Zbl 1216.65052

Summary: The generalized polar decomposition method (or briefly GPD method) has been introduced by H. Z. Munthe-Kaas and A. Zanna [SIAM J. Matrix Anal. Appl. 23, No. 3, 840–862 (2002; Zbl 0999.65060)] to approximate the matrix exponential. In this paper, we investigate the numerical stability of that method with respect to roundoff propagation. The numerical GPD method includes two parts: splitting of a matrix \(Z \in \mathfrak{g}\), a Lie algebra of matrices and computing \(\exp(Z)v\) for a vector \(v\). We show that the former is stable provided that \(\|Z\|\) is not so large, while the latter is not stable in general except with some restrictions on the entries of the matrix \(Z\) and the vector \(v\).


65G50 Roundoff error
65L07 Numerical investigation of stability of solutions to ordinary differential equations
65F30 Other matrix algorithms (MSC2010)


Zbl 0999.65060
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