Algorithms for the computation of the matrix logarithm based on the double exponential formula

[摘要] We consider the computation of the matrix logarithm by using numerical quadrature. The efficiency of numerical quadrature depends on the integrand and the choice of quadrature formula. The Gauss-Legendre quadrature has been conventionally employed; however, the convergence could be slow for ill-conditioned matrices. This effect may stem from the rapid change of the integrand values. To avoid such situations, we focus on the double exponential formula, which has been developed to address integrands with endpoint singularity. In order to utilize the double exponential formula, we must determine a suitable finite integration interval, which provides the required accuracy and efficiency. In this paper, we present a method for selecting a suitable finite interval based on an error analysis as well as two algorithms, and one of these algorithms is an adaptive quadrature algorithm. (C) 2019 Elsevier B.V. All rights reserved.

[发布日期] 2020-08-01

[效力级别]  Proceedings Paper

[关键词] Matrix logarithm;Matrix function;Numerical integration;Double exponential formula