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This paper concerns the theory and development of inexact rational Krylov subspace methods for approximating the action of a function of a matrix f(A) to a column vector b. At each step of the rational Krylov subspace methods, a shifted linear system of equations needs to be solved to enlarge the subspace. For large-scale problems, such a linear system is usually solved approximately by an iterative method. The main question is how to relax the accuracy of these linear solves without negatively affecting the convergence of the approximation of f(A)b. Our insight into this issue is obtained by exploring the residual bounds for the rational Krylov subspace approximations of f(A)b, based on the decaying behavior of the entries in the first column of certain matrices of A restricted to the rational Krylov subspaces. The decay bounds for these entries for both analytic functions and Markov functions can be efficiently and accurately evaluated by appropriate quadrature rules. A heuristic based on these bounds is proposed to relax the tolerances of the linear solves arising in each step of the rational Krylov subspace methods. As the algorithm progresses toward convergence, the linear solves can be performed with increasingly lower accuracy and computational cost. Numerical experiments for large nonsymmetric matrices show the effectiveness of the tolerance relaxation strategy for the inexact linear solves of rational Krylov subspace methods.
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A Flexible Extended Krylov Subspace Method for Approximating Markov Functions of Matrices
A flexible extended Krylov subspace method (F-EKSM) is considered for numerical approximation of the action of a matrix function f(A) to a vector b, where the function f is of Markov type. F-EKSM has the same framework as the extended Krylov subspace method (EKSM), replacing the zero pole in EKSM with a properly chosen fixed nonzero pole. For symmetric positive definite matrices, the optimal fixed pole is derived for F-EKSM to achieve the lowest possible upper bound on the asymptotic convergence factor, which is lower than that of EKSM. The analysis is based on properties of Faber polynomials of A and (I−A/s)−1. For large and sparse matrices that can be handled efficiently by LU factorizations, numerical experiments show that F-EKSM and a variant of RKSM based on a small number of fixed poles outperform EKSM in both storage and runtime, and usually have advantages over adaptive RKSM in runtime.
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- Award ID(s):
- 2111496
- PAR ID:
- 10528760
- Publisher / Repository:
- MDPI
- Date Published:
- Journal Name:
- Mathematics
- Volume:
- 11
- Issue:
- 20
- ISSN:
- 2227-7390
- Page Range / eLocation ID:
- 4341
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
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Accepted Manuscript1.0
- Journal Article:
- https://doi.org/10.3390/math11204341
