Physical Sciences and Mathematics Commons^™

Error Bounds For The Lanczos Methods For Approximating Matrix Exponentials, Qiang Ye

Mathematics Faculty Publications

In this paper, we present new error bounds for the Lanczos method and the shift-and-invert Lanczos method for computing e−^τAv for a large sparse symmetric positive semidefinite matrix A. Compared with the existing error analysis for these methods, our bounds relate the convergence to the condition numbers of the matrix that generates the Krylov subspace. In particular, we show that the Lanczos method will converge rapidly if the matrix A is well-conditioned, regardless of what the norm of τA is. Numerical examples are given to demonstrate the theoretical bounds.