Rational Krylov for Stieltjes matrix functions: convergence and pole selection
Evaluating the action of a matrix function on a vector, that is x = f ( M ) v , is an ubiquitous task in applications. When M is large, one usually relies on Krylov projection methods. In this paper, we provide effective choices for the poles of the rational Krylov method for approximating x wh...
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Published in | BIT Vol. 61; no. 1; pp. 237 - 273 |
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Abstract | Evaluating the action of a matrix function on a vector, that is
x
=
f
(
M
)
v
, is an ubiquitous task in applications. When
M
is large, one usually relies on Krylov projection methods. In this paper, we provide effective choices for the poles of the rational Krylov method for approximating
x
when
f
(
z
) is either Cauchy–Stieltjes or Laplace–Stieltjes (or, which is equivalent, completely monotonic) and
M
is a positive definite matrix. Relying on the same tools used to analyze the generic situation, we then focus on the case
M
=
I
⊗
A
-
B
T
⊗
I
, and
v
obtained vectorizing a low-rank matrix; this finds application, for instance, in solving fractional diffusion equation on two-dimensional tensor grids. We see how to leverage tensorized Krylov subspaces to exploit the Kronecker structure and we introduce an error analysis for the numerical approximation of
x
. Pole selection strategies with explicit convergence bounds are given also in this case. |
---|---|
AbstractList | Evaluating the action of a matrix function on a vector, that is x=f(M)v, is an ubiquitous task in applications. When M is large, one usually relies on Krylov projection methods. In this paper, we provide effective choices for the poles of the rational Krylov method for approximating x when f(z) is either Cauchy–Stieltjes or Laplace–Stieltjes (or, which is equivalent, completely monotonic) and M is a positive definite matrix. Relying on the same tools used to analyze the generic situation, we then focus on the case M=I⊗A-BT⊗I, and v obtained vectorizing a low-rank matrix; this finds application, for instance, in solving fractional diffusion equation on two-dimensional tensor grids. We see how to leverage tensorized Krylov subspaces to exploit the Kronecker structure and we introduce an error analysis for the numerical approximation of x. Pole selection strategies with explicit convergence bounds are given also in this case. Evaluating the action of a matrix function on a vector, that is x = f ( M ) v , is an ubiquitous task in applications. When M is large, one usually relies on Krylov projection methods. In this paper, we provide effective choices for the poles of the rational Krylov method for approximating x when f ( z ) is either Cauchy–Stieltjes or Laplace–Stieltjes (or, which is equivalent, completely monotonic) and M is a positive definite matrix. Relying on the same tools used to analyze the generic situation, we then focus on the case M = I ⊗ A - B T ⊗ I , and v obtained vectorizing a low-rank matrix; this finds application, for instance, in solving fractional diffusion equation on two-dimensional tensor grids. We see how to leverage tensorized Krylov subspaces to exploit the Kronecker structure and we introduce an error analysis for the numerical approximation of x . Pole selection strategies with explicit convergence bounds are given also in this case. Evaluating the action of a matrix function on a vector, that is $$x=f({\mathcal {M}})v$$ x = f ( M ) v , is an ubiquitous task in applications. When $${\mathcal {M}}$$ M is large, one usually relies on Krylov projection methods. In this paper, we provide effective choices for the poles of the rational Krylov method for approximating x when f ( z ) is either Cauchy–Stieltjes or Laplace–Stieltjes (or, which is equivalent, completely monotonic) and $${\mathcal {M}}$$ M is a positive definite matrix. Relying on the same tools used to analyze the generic situation, we then focus on the case $${\mathcal {M}}=I \otimes A - B^T \otimes I$$ M = I ⊗ A - B T ⊗ I , and v obtained vectorizing a low-rank matrix; this finds application, for instance, in solving fractional diffusion equation on two-dimensional tensor grids. We see how to leverage tensorized Krylov subspaces to exploit the Kronecker structure and we introduce an error analysis for the numerical approximation of x . Pole selection strategies with explicit convergence bounds are given also in this case. |
Author | Robol, Leonardo Massei, Stefano |
Author_xml | – sequence: 1 givenname: Stefano orcidid: 0000-0003-1813-4181 surname: Massei fullname: Massei, Stefano email: s.massei@tue.nl organization: TU Eindhoven – sequence: 2 givenname: Leonardo surname: Robol fullname: Robol, Leonardo organization: Dipartimento di Matematica, Università di Pisa |
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Cites_doi | 10.1145/361573.361582 10.1137/080742403 10.1016/j.jcp.2015.06.031 10.1137/080741744 10.1137/19M1244433 10.1137/S0895479895292400 10.1080/10652469.2011.613830 10.1137/130912839 10.1137/17M1161038 10.1137/100800634 10.1007/s10543-013-0420-x 10.1016/j.cam.2009.08.108 10.13001/1081-3810.1010 10.1007/BF02547400 10.1137/110824590 10.1017/S0962492910000048 10.1093/comnet/cnt007 10.1007/s00211-016-0799-9 10.1137/13093491X 10.1137/18M1180803 10.1137/090774082 10.1070/SM2007v198n03ABEH003842 10.1002/gamm.201310002 10.1016/j.sysconle.2011.04.013 10.1137/17M1157155 |
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Keywords | Zolotarev problem 65F60 30E20 Pole selection Rational Krylov Function of matrices 65E05 Kronecker sum Stieltjes functions |
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Matrix Anal. Appl.2014352661683320972610.1137/13093491X1309.65050 KressnerDMasseiSRobolLLow-rank updates and a divide-and-conquer method for linear matrix equationsSIAM J. Sci. Comput.2019412A848A876392835110.1137/17M11610381448.65034 DruskinVKnizhnermanLExtended Krylov subspaces: approximation of the matrix square root and related functionsSIAM J. Matrix Anal. Appl.1998193755771161658410.1137/S0895479895292400 BraessDNonlinear Approximation Theory2012BerlinSpringer0656.41001 BennerPLiRCTruharNOn the ADI method for Sylvester equationsJ. Comput. Appl. Math.2009233410351045255729310.1016/j.cam.2009.08.1081176.65050 DruskinVSimonciniVAdaptive rational Krylov subspaces for large-scale dynamical systemsSyst. Control Lett.2011608546560285834010.1016/j.sysconle.2011.04.0131236.93035 OseledetsIVLower bounds for separable approximations of the Hilbert kernelSb. Math.20071983137144235428210.1070/SM2007v198n03ABEH0038421151.41016 BernsteinSSur les fonctions absolument monotonesActa Math.1929521166155526910.1007/BF0254740055.0142.07 HochbruckMOstermannAExponential integratorsActa Numer.201019209286265278310.1017/S09624929100000481242.65109 BeckermannBTownsendABounds on the singular values of matrices with displacement structureSIAM Rev.2019612319344394728310.1137/19M12444331441.15005Revised reprint of “On the singular values of matrices with displacement structure” [ MR3717820] GüttelSRational Krylov approximation of matrix functions: numerical methods and optimal pole selectionGAMM-Mitt.2013361831309591210.1002/gamm.2013100021292.65043 MasseiSMazzaMRobolLFast solvers for two-dimensional fractional diffusion equations using rank structured matricesSIAM J. Sci. Comput.2019414A2627A2656399530410.1137/18M11808031420.65096 HornRAKittanehFTwo applications of a bound on the Hadamard product with a Cauchy matrixElectron. J. Linear Algebra19983412160872910.13001/1081-3810.10100890.15020Dedicated to Hans Schneider on the occasion of his 70th birthdayDedicated to Hans Schneider on the occasion of his 70th birthday BartelsRHStewartGWAlgorithm 432: solution of the matrix equation AX+XB=C\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$AX+XB=C$$\end{document}Commun. ACM19721582082610.1145/361573.361582 SimonciniVComputational methods for linear matrix equationsSIAM Rev.2016583377441353279410.1137/1309128391386.65124 BenziMKlymkoCTotal communicability as a centrality measureJ. Complex Netw.20131212414910.1093/comnet/cnt007 YangQTurnerILiuFIlićMNovel numerical methods for solving the time-space fractional diffusion equation in two dimensionsSIAM J. Sci. 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Comput.2019412A848A876392835110.1137/17M11610381448.65034 – reference: BenziMSimonciniVApproximation of functions of large matrices with Kronecker structureNumer. Math.20171351126359210510.1007/s00211-016-0799-91365.65134 – reference: HochbruckMOstermannAExponential integratorsActa Numer.201019209286265278310.1017/S09624929100000481242.65109 – reference: TownsendAOlverSThe automatic solution of partial differential equations using a global spectral methodJ. Comput. Phys.2015299106123338471910.1016/j.jcp.2015.06.0311352.65579 – reference: GüttelSRational Krylov approximation of matrix functions: numerical methods and optimal pole selectionGAMM-Mitt.2013361831309591210.1002/gamm.2013100021292.65043 – reference: GüttelSKnizhnermanLA black-box rational Arnoldi variant for Cauchy–Stieltjes matrix functionsBIT2013533595616309525710.1007/s10543-013-0420-x1276.65026 – reference: AbramowitzMStegunIAHandbook of Mathematical Functions: With Formulas, Graphs, and Mathematical Tables1965ChelmsfordCourier Corporation0171.38503 – reference: BeckermannBAn error analysis for rational Galerkin projection applied to the Sylvester equationSIAM J. Numer. 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Comput.2019414A2627A2656399530410.1137/18M11808031420.65096 – reference: BraessDNonlinear Approximation Theory2012BerlinSpringer0656.41001 – reference: BartelsRHStewartGWAlgorithm 432: solution of the matrix equation AX+XB=C\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$AX+XB=C$$\end{document}Commun. ACM19721582082610.1145/361573.361582 – reference: BernsteinSSur les fonctions absolument monotonesActa Math.1929521166155526910.1007/BF0254740055.0142.07 – reference: Berg, C.: Stieltjes–Pick–Bernstein–Schoenberg and their connection to complete monotonicity. In: Positive Definite Functions: From Schoenberg to Space-Time Challenges, pp. 15–45 (2008) – reference: BreitenTSimonciniVStollMLow-rank solvers for fractional differential equationsElectron. Trans. Numer. Anal.20164510713234981431338.65071 – reference: WidderDVThe Laplace Transform1941PrincetonPrinceton University Press0063.08245 – reference: DruskinVKnizhnermanLExtended Krylov subspaces: approximation of the matrix square root and related functionsSIAM J. Matrix Anal. Appl.1998193755771161658410.1137/S0895479895292400 – reference: DruskinVSimonciniVAdaptive rational Krylov subspaces for large-scale dynamical systemsSyst. Control Lett.2011608546560285834010.1016/j.sysconle.2011.04.0131236.93035 – reference: SimonciniVComputational methods for linear matrix equationsSIAM Rev.2016583377441353279410.1137/1309128391386.65124 – reference: HornRAKittanehFTwo applications of a bound on the Hadamard product with a Cauchy matrixElectron. J. Linear Algebra19983412160872910.13001/1081-3810.10100890.15020Dedicated to Hans Schneider on the occasion of his 70th birthdayDedicated to Hans Schneider on the occasion of his 70th birthday – reference: BeckermannBReichelLError estimates and evaluation of matrix functions via the Faber transformSIAM J. Numer. Anal.200947538493883257652310.1137/0807417441204.65041 – reference: BennerPLiRCTruharNOn the ADI method for Sylvester equationsJ. Comput. Appl. Math.2009233410351045255729310.1016/j.cam.2009.08.1081176.65050 – reference: MasseiSPalittaDRobolLSolving rank-structured Sylvester and Lyapunov equationsSIAM J. Matrix Anal. Appl.201839415641590386761710.1137/17M11571551404.65036 – reference: YangQTurnerILiuFIlićMNovel numerical methods for solving the time-space fractional diffusion equation in two dimensionsSIAM J. Sci. Comput.201133311591180280056810.1137/1008006341229.35315 – reference: DruskinVKnizhnermanLZaslavskyMSolution of large scale evolutionary problems using rational Krylov subspaces with optimized shiftsSIAM J. Sci. Comput.200931537603780255656110.1137/0807424031204.65042 – reference: Schweitzer, M.: Restarting and error estimation in polynomial and extended Krylov subspace methods for the approximation of matrix functions. Ph.D. thesis, Universitätsbibliothek Wuppertal (2016) – reference: ZolotarevEApplication of elliptic functions to questions of functions deviating least and most from zeroZap. Imp. Akad. Nauk. St. Petersb.1877305159 – volume: 15 start-page: 820 year: 1972 ident: 826_CR2 publication-title: Commun. ACM doi: 10.1145/361573.361582 – volume: 31 start-page: 3760 issue: 5 year: 2009 ident: 826_CR14 publication-title: SIAM J. Sci. Comput. doi: 10.1137/080742403 – volume: 299 start-page: 106 year: 2015 ident: 826_CR30 publication-title: J. Comput. 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Snippet | Evaluating the action of a matrix function on a vector, that is
x
=
f
(
M
)
v
, is an ubiquitous task in applications. When
M
is large, one usually relies... Evaluating the action of a matrix function on a vector, that is $$x=f({\mathcal {M}})v$$ x = f ( M ) v , is an ubiquitous task in applications. When ... Evaluating the action of a matrix function on a vector, that is x=f(M)v, is an ubiquitous task in applications. When M is large, one usually relies on Krylov... |
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SubjectTerms | Approximation Computational Mathematics and Numerical Analysis Convergence Error analysis Mathematical analysis Mathematics Mathematics and Statistics Matrix methods Numeric Computing Subspaces Tensors |
Title | Rational Krylov for Stieltjes matrix functions: convergence and pole selection |
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