Rational Krylov approximation of matrix functions: Numerical methods and optimal pole selection

Abstract

Abstract Matrix functions are a central topic of linear algebra, and problems of their numerical approximation appear increasingly often in scientific computing. We review various rational Krylov methods for the computation of large‐scale matrix functions. Emphasis is put on the rational Arnoldi method and variants thereof, namely, the extended Krylov subspace method and the shift‐and‐invert Arnoldi method, but we also discuss the nonorthogonal generalized Leja point (or PAIN) method. The issue of optimal pole selection for rational Krylov methods applied for approximating the resolvent and exponential function, and functions of Markov type, is treated in some detail. (© 2013 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)