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arXiv 1809.07660math.NAcs.NA
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双正交扩展Krylov子空间方法

Biorthogonal Extended Krylov Subspace Methods

Niel Van Buggenhout, Marc Van Barel, Raf Vandebril

摘要:

给出了非厄米矩阵在有理Krylov子空间上斜投影的一般框架。为了获得这个框架,我们重新审视了经典的合理Krylov子空间算法,并证明了投影矩阵可以有效地写为结构铅笔,其中的结构可以采取几种形式,如Hessenberg或逆Hessenberg。在这个斜投影框架中出现的结构的一个具体实例是三对角束。这是经典的双正交Krylov子空间方法的直接推广,其中投影成为一个单一的非厄米特三对角矩阵和合理的Krylov子空间的Hessenberg铅笔表示。基于这个三对角束在双正交集上的紧凑存储,我们可以得到短递归。数值实验证实了该方法的有效性。

英文摘要:

A general framework for oblique projections of nonhermitian matrices onto rational Krylov subspaces is developed. To obtain this framework we revisit the classical rational Krylov subspace algorithm and prove that the projected matrix can be written efficiently as a structured pencil, where the structure can take several forms, such as Hessenberg or inverse Hessenberg. One specific instance of the structures appearing in this framework for oblique projections is a tridiagonal pencil. This is a direct generalization of the classical biorthogonal Krylov subspace method where the projection becomes a single nonhermitian tridiagonal matrix and of the Hessenberg pencil representation for rational Krylov subspaces. Based on the compact storage of this tridiagonal pencil in the biorthogonal setting, we can develop short recurrences. Numerical experiments confirm the validity of the approach.

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