ARBITRARY PRECISION ALGORITHMS FOR COMPUTING THE MATRIX COSINE AND ITS FRECHET DERIVATIVE

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Abstract

Existing algorithms for computing the matrix cosine are tightly coupled to a specific precision of floating-point arithmetic for optimal efficiency so they do not conveniently extend to an arbitrary precision environment. We develop an algorithm for computing the matrix cosine that takes the unit roundoff of the working precision as input, and so works in an arbitrary precision. The algorithm employs a Taylor approximation with scaling and recovering and it can be used with a Schur decomposition or in a decomposition-free manner. We also derive a framework for computing the Frechet derivative, construct an efficient evaluation scheme for computing the cosine and its Frechet derivative simultaneously in arbitrary precision, and show how this scheme can be extended to compute the matrix sine, cosine, and their Frechet derivatives all together. Numerical experiments show that the new algorithms behave in a forward stable way over a wide range of precisions. The transformation-free version of the algorithm for computing the cosine is competitive in accuracy with the state-of-the-art algorithms in double precision and surpasses existing alternatives in both speed and accuracy in working precisions higher than double.
Original languageEnglish
JournalSIAM Journal on Matrix Analysis and Applications
Early online date17 Feb 2022
DOIs
Publication statusPublished - 17 Feb 2022

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