Approximating matrix functions by block Krylov methods with randomized vectors
The need to evaluate expressions of the form $f(A)\mathbf{b}$, where $A$ is a square matrix, $f$ is a function, and $\mathbf{b}$ is a vector, arises in several areas of applied mathematics. When the matrix $A$ is very large, it is usually not attractive to evaluate $f(A)$. Instead, $f(A)\mathbf{b}$ often is approximated by computing an estimate in a Krylov subspace that depends on $A$ and $\mathbf{b}$, and only requires that $f$ be evaluated at a small matrix. This paper explores the application of several variants of randomized block Krylov methods to the approximation of $f(A)\mathbf{b}$. Computed examples suggest that block Krylov methods with an initial block vector that contains $\mathbf{b}$ as well as a few randomly generated vectors may require less computing time and reduce the number of Krylov steps than standard Krylov methods.