New Matrix Series Formulae for Matrix Exponentials and for the Solution of Linear Systems of Algebraic Equations

Abstract

The solution of certain differential equations is expressed using a special type of matrix series and is directly related to the solution of general systems of algebraic equations. Efficient formulae for matrix exponentials are derived in terms of rapidly convergent series of the same type. They are essential for two new solution methods, especially beneficial for large linear systems, namely an iterative method and a method based on an exact matrix product formula. The computational complexity of these two methods is analysed, and for both of them, the number of matrix exponential-vector multiplications required for an imposed accuracy can be predetermined in terms of the system condition. The total number of arithmetic operations involved is roughly proportional to n 2 , where n is the matrix dimension. The common feature of all the series in the results presented is that starting with a first term that is already well-conditioned, each subsequent term is computed by multiplication with an even better conditioned matrix, tending quickly to the identity matrix. This contributes substantially to the stability of the numerical computation. A very efficient method based on the numerical integration of a special kind of differential equations, applicable to even ill-conditioned systems, is also presented.