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Matrix exponential times a vector

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This submission contains two functions for computing EXPM(t*A)*b without explicitly forming EXPM(t*A), where A is an n-by-n matrix and b is an n-by-1 vector. This is the problem of computing the action of the matrix exponential on a vector.

EXPMV(t,A,B, computes EXPM(t*A)*B, while EXPMV_TSPAN(A,b,t0,tmax,q) computes EXPM(t*A)*b for q+1 >= 2 equally spaced values of T between T0 and TMAX.

The functions work for any matrix A, and use just matrix-vector products with A and A^*.

Function TEST.M runs a simple test of the codes.

Details on the underlying algorithms can be found in

A. H. Al-Mohy and N. J. Higham. Computing the action of the matrix exponential, with an application to exponential integrators. MIMS EPrint 2010.30, The University of Manchester, 2010; to appear in SIAM J. Sci. Comput. http://eprints.ma.man.ac.uk/1536/

Free download from Shareware Connection - This submission contains two functions for computing EXPM(t*A)*b without explicitly forming EXPM(t*A)

Publisher: Nick Higham | License: Shareware
Version: 1.0 | Size: 10 KB | Platform: Matlab, Scripts
Released Date: 14-01-2013 | Rating: 0 | Title: Matrix exponential times a vector

Author Url: http://www.mathworks.com
Program Info Url: http://www.mathworks.com
Download Url: http://www.mathworks.com/matlabcentral/fx_files/29576/1/expmv.zip

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