An improved algorithm to compute the exponential of a matrix
Numerical Analysis
2017-10-31 v1
Abstract
In this work, we present a new way to compute the Taylor polynomial of the matrix exponential which reduces the number of matrix multiplications in comparison with the de-facto standard Patterson-Stockmeyer method. This reduction is sufficient to make the method superior in performance to Pad\'e approximants by 10-30% over a range of values for the matrix norms and thus we propose its replacement in standard software kits. Numerical experiments show the performance of the method and illustrate its stability.
Cite
@article{arxiv.1710.10989,
title = {An improved algorithm to compute the exponential of a matrix},
author = {Philipp Bader and Sergio Blanes and Fernando Casas},
journal= {arXiv preprint arXiv:1710.10989},
year = {2017}
}
Comments
14pages, 2 figures