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image/svg+xml Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao Closed Access logo, derived from PLoS Open Access logo. This version with transparent background. http://commons.wikimedia.org/wiki/File:Closed_Access_logo_transparent.svg Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao Applied Numerical Ma...arrow_drop_down
image/svg+xml Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao Closed Access logo, derived from PLoS Open Access logo. This version with transparent background. http://commons.wikimedia.org/wiki/File:Closed_Access_logo_transparent.svg Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao
Applied Numerical Mathematics
Article . 1998 . Peer-reviewed
License: Elsevier TDM
Data sources: Crossref
image/svg+xml Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao Closed Access logo, derived from PLoS Open Access logo. This version with transparent background. http://commons.wikimedia.org/wiki/File:Closed_Access_logo_transparent.svg Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao
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Computing the logarithm of a symmetric positive definite matrix

Authors: Ya Yan Lu;

Computing the logarithm of a symmetric positive definite matrix

Abstract

The following algorithm to compute \(\log(A)\) for a matrix \(A>0\) is proposed. (1) Reduce to tridiagonal form: \(A=QTQ^T\), (2) Compute an approximant \[ R_m(X)=\sum_{j=1}^m a_j (I+b_jX)^{-1}X \] with \(X=\mu T-I\), (3) Set \(S_m=-\log\mu I+QR_mQ^T\). The approximant \(R_m(x)\) is a diagonal Padé approximant for \(\log(1+x)\) with \(x\in(-1,1)\), so that the \(a_j\) and \(b_j\) are the weights and abscissas of the \(m\)-point Gauss-Legendre quadrature formula. The degree \(m\) is selected such that a certain precision is obtained. This \(m\) (and also the parameter \(\mu\)) can be computed in terms of the largest and smallest eigenvalue of \(A\). An easy estimate for the optimal \(m\) in function of the condition number of \(A\) is also derived from the error estimate of the Padé approximant. The complexity of the algorithm is analysed and several illustrative numerical examples are included.

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Keywords

numerical examples, matrix logarithm, Numerical computation of matrix norms, conditioning, scaling, Gauss-Legendre quadrature formula, Other matrix algorithms, Complexity and performance of numerical algorithms, tridiagonal reduction, eigenvalue, error estiamte, complexity, Padé approximation, condition number

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citations
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
13
Average
Top 10%
Average
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