Computing the matrix fractional power with the double exponential formula
| Autor: | Tatsuoka, Fuminori, Sogabe, Tomohiro, Miyatake, Yuto, Kemmochi, Tomoya, Zhang, Shao-Liang |
|---|---|
| Rok vydání: | 2020 |
| Předmět: | |
| Zdroj: | Electron. T. Numer. Ana., 54 (2021) 558-580 |
| Druh dokumentu: | Working Paper |
| DOI: | 10.1553/etna_vol54s558 |
| Popis: | Two quadrature-based algorithms for computing the matrix fractional power $A^\alpha$ are presented in this paper. These algorithms are based on the double exponential (DE) formula, which is well-known for its effectiveness in computing improper integrals as well as in treating nearly arbitrary endpoint singularities. The DE formula transforms a given integral into another integral that is suited for the trapezoidal rule; in this process, the integral interval is transformed to the infinite interval. Therefore, it is necessary to truncate the infinite interval into an appropriate finite interval. In this paper, a truncation method, which is based on a truncation error analysis specialized to the computation of $A^\alpha$, is proposed. Then, two algorithms are presented -- one computes $A^\alpha$ with a fixed number of abscissas, and the other computes $A^\alpha$ adaptively. Subsequently, the convergence rate of the DE formula for Hermitian positive definite matrices is analyzed. The convergence rate analysis shows that the DE formula converges faster than the Gaussian quadrature when $A$ is ill-conditioned and $\alpha$ is a non-unit fraction. Numerical results show that our algorithms achieved the required accuracy and were faster than other algorithms in several situations. Comment: The title of the manuscript was changed. The former title is "Computing the matrix fractional power based on the double exponential formula" |
| Databáze: | arXiv |
| Externí odkaz: |
|