On monotonicity of the Lanczos approximation to the matrix exponential

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Abstract

We prove strictly monotonic error decrease in the Euclidian norm of the Krylov subspace approximation of exp (A) φ, where φ and A are respectively a vector and a symmetric matrix. In addition, we show that the norm of the approximate solution grows strictly monotonically with the subspace dimension. © 2008 Elsevier Inc. All rights reserved.

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Druskin, V. (2008). On monotonicity of the Lanczos approximation to the matrix exponential. Linear Algebra and Its Applications, 429(7), 1679–1683. https://doi.org/10.1016/j.laa.2008.04.046

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