Fast Non-Hermitian Toeplitz Eigenvalue Computations, Joining Matrixless Algorithms and FDE Approximation Matrices

Abstract

SIAM Journal on Matrix Analysis and Applications, Volume 45, Issue 1, Page 284-305, March 2024.
Abstract. The present work is devoted to the eigenvalue asymptotic expansion of the Toeplitz matrix [math], whose generating function [math] is complex-valued and has a power singularity at one point. As a consequence, [math] is non-Hermitian and we know that in this setting, the eigenvalue computation is a nontrivial task for large sizes. First we follow the work of Bogoya, Böttcher, Grudsky, and Maximenko and deduce a complete asymptotic expansion for the eigenvalues. In a second step, we apply matrixless algorithms, in the spirit of the work by Ekström, Furci, Garoni, Serra-Capizzano et al., for computing those eigenvalues. Since the inner and extreme eigenvalues have different asymptotic behaviors, we worked on them independently and combined the results to produce a high precision global numerical and matrixless algorithm. The numerical results are very precise, and the computational cost of the proposed algorithms is independent of the size of the considered matrices for each eigenvalue, which implies a linear cost when the entire spectrum is computed. From the viewpoint of real-world applications, we emphasize that the class under consideration includes the matrices stemming from the numerical approximation of fractional diffusion equations. In the final section a concise discussion on the matter and a few open problems are presented.