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NAG Toolbox: nag_matop_real_symm_matrix_exp (f01ed)

Purpose

nag_matop_real_symm_matrix_exp (f01ed) computes the matrix exponential, eAeA, of a real symmetric nn by nn matrix AA.

Syntax

[a, ifail] = f01ed(uplo, a, 'n', n)
[a, ifail] = nag_matop_real_symm_matrix_exp(uplo, a, 'n', n)

Description

eAeA is computed using a spectral factorization of AA 
A = Q D QT ,
A = Q D QT ,
where DD is the diagonal matrix whose diagonal elements, didi, are the eigenvalues of AA, and QQ is an orthogonal matrix whose columns are the eigenvectors of AA. eAeA is then given by
eA = Q eD QT ,
eA = Q eD QT ,
where eDeD is the diagonal matrix whose iith diagonal element is ediedi. See for example Section 4.5 of Higham (2008).

References

Higham N J (2008) Functions of Matrices: Theory and Computation SIAM, Philadelphia, PA, USA
Moler C B and Van Loan C F (2003) Nineteen dubious ways to compute the exponential of a matrix, twenty-five years later SIAM Rev. 45 3–49

Parameters

Compulsory Input Parameters

1:     uplo – string (length ≥ 1)
Indicates whether the upper or lower triangular part of AA is stored.
uplo = 'U'uplo='U'
The upper triangular part of AA is stored.
uplo = 'L'uplo='L'
The lower triangular part of AA is stored.
Constraint: uplo = 'U'uplo='U' or 'L''L'.
2:     a(lda, : :) – double array
The first dimension of the array a must be at least max (1,n)max(1,n)
The second dimension of the array must be at least nn
The nn by nn symmetric matrix AA.
  • If uplo = 'U'uplo='U', the upper triangular part of aa must be stored and the elements of the array below the diagonal are not referenced.
  • If uplo = 'L'uplo='L', the lower triangular part of aa must be stored and the elements of the array above the diagonal are not referenced.

Optional Input Parameters

1:     n – int64int32nag_int scalar
Default: The first dimension of the array a.
nn, the order of the matrix AA.
Constraint: n0n0.

Input Parameters Omitted from the MATLAB Interface

lda

Output Parameters

1:     a(lda, : :) – double array
The first dimension of the array a will be max (1,n)max(1,n)
The second dimension of the array will be nn
ldamax (1,n)ldamax(1,n).
If ifail = 0ifail=0, the upper or lower triangular part of the nn by nn matrix exponential, eAeA.
2:     ifail – int64int32nag_int scalar
ifail = 0ifail=0 unless the function detects an error (see [Error Indicators and Warnings]).

Error Indicators and Warnings

Errors or warnings detected by the function:
  ifail > 0ifail>0
The computation of the spectral factorization failed to converge.
  ifail = 1ifail=-1
Constraint: uplo = 'L'uplo='L' or 'U''U'.
  ifail = 2ifail=-2
Constraint: n0n0.
  ifail = 3ifail=-3
An internal error occurred when computing the spectral factorization. Please contact NAG.
  ifail = 4ifail=-4
Constraint: ldanldan.
  ifail = 999ifail=-999
Dynamic memory allocation failed. Dynamic memory allocation failed. Dynamic memory allocation failed.

Accuracy

For a symmetric matrix AA, the matrix eAeA, has the relative condition number
κ(A) = A2 ,
κ(A) = A2 ,
which is the minimum possible for the matrix exponential and so the computed matrix exponential is guaranteed to be close to the exact matrix. See Section 10.2 of Higham (2008) for details and further discussion.

Further Comments

The cost of the algorithm is O(n3)O(n3).
As well as the excellent book cited above, the classic reference for the computation of the matrix exponential is Moler and Van Loan (2003).

Example

function nag_matop_real_symm_matrix_exp_example
uplo = 'u';
a =  [1, 2, 3, 4;
      0, 1, 2, 3;
      0, 0, 1, 2;
      0, 0, 0, 1];
% Compute exp(a)
[aOut, ifail] = nag_matop_real_symm_matrix_exp(uplo, a);
% Display results
[ifail] = nag_file_print_matrix_real_gen(uplo, 'n', aOut, 'Symmetric Exp(a)')
 
 Symmetric Exp(a)
             1          2          3          4
 1   2675.3899  2193.0210  2193.2062  2675.2803
 2              1798.3297  1797.8497  2193.2062
 3                         1798.3297  2193.0210
 4                                    2675.3899

ifail =

                    0


function f01ed_example
uplo = 'u';
a =  [1, 2, 3, 4;
      0, 1, 2, 3;
      0, 0, 1, 2;
      0, 0, 0, 1];
% Compute exp(a)
[aOut, ifail] = f01ed(uplo, a);
% Display results
[ifail] = x04ca(uplo, 'n', aOut, 'Symmetric Exp(a)')
 
 Symmetric Exp(a)
             1          2          3          4
 1   2675.3899  2193.0210  2193.2062  2675.2803
 2              1798.3297  1797.8497  2193.2062
 3                         1798.3297  2193.0210
 4                                    2675.3899

ifail =

                    0



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