Fast Evaluation of Zolotarev Coefficients

We review the theory of elliptic functions leading to Zolotarev's formula for the sign function over the range (\epsilon \leq|x| \leq1). We show how Gauss' arithmetico-geometric mean allows us to evaluate elliptic functions cheaply, and thus to compute Zolotarev coefficients ``on the fly'' as a function of (\epsilon). This in turn allows us to calculate the matrix functions (\sgn H), (\sqrt H), and (1/\sqrt H) both quickly and accurately for any Hermitian matrix (H) whose spectrum lies in the specified range.