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Spectrum-Adapted Polynomial Approximation for Matrix Functions (1808.09506v1)
Published 28 Aug 2018 in cs.NA and math.NA
Abstract: We propose and investigate two new methods to approximate $f({\bf A}){\bf b}$ for large, sparse, Hermitian matrices ${\bf A}$. The main idea behind both methods is to first estimate the spectral density of ${\bf A}$, and then find polynomials of a fixed order that better approximate the function $f$ on areas of the spectrum with a higher density of eigenvalues. Compared to state-of-the-art methods such as the Lanczos method and truncated Chebyshev expansion, the proposed methods tend to provide more accurate approximations of $f({\bf A}){\bf b}$ at lower polynomial orders, and for matrices ${\bf A}$ with a large number of distinct interior eigenvalues and a small spectral width.