A Stable Algorithm for Matrix Exponent Calculation

Thu, 26/05/2016 - 10:30


We propose a numerical algorithm for calculation of the matrix exponential, which is stable for every matrix and any number of required signficiant digits. The algorithm is based on the Lanczos method of eigenvalue calculation. Theoretical analysis and proof of stability of the algorithm is given. 

Joint work with Shlomo Yanetz and Gregory Agranovich (Ariel)