On using the complex step method for the approximation of Fr\'echet derivatives of matrix functions in automorphism groups

Tom Werner

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arXiv · 2112.06786

On using the complex step method for the approximation of Fr\'echet derivatives of matrix functions in automorphism groups

Tom Werner

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Abstract

We show, that the Complex Step approximation to the Fr\'echet derivative of real matrix functions is applicable to the matrix sign, square root and polar mapping using iterative schemes. While this property was already discovered for the matrix sign using Newton's method, we extend the research to the family of Pad\'e iterations, that allows us to introduce iterative schemes for finding function and derivative values while approximately preserving automorphism group structure.

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Tom Werner. 2021-12-13. On using the complex step method for the approximation of Fr\'echet derivatives of matrix functions in automorphism groups. https://arxiv.org/abs/2112.06786

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