naginterfaces.library.matop.real_​gen_​matrix_​frcht_​log

naginterfaces.library.matop.real_gen_matrix_frcht_log(a, e)

real_gen_matrix_frcht_log computes the Fréchet derivative $L(A,E)$ of the matrix logarithm of the real $n\times n$ matrix $A$ applied to the real $n\times n$ matrix $E$. The principal matrix logarithm $\log \left(A\right)$ is also returned.

For full information please refer to the NAG Library document for f01jk

https://support.nag.com/numeric/nl/nagdoc_30.3/flhtml/f01/f01jkf.html

Parameters

afloat, array-like, shape $(n,n)$

The $n\times n$ matrix $A$.

efloat, array-like, shape $(n,n)$

The $n\times n$ matrix $E$

Returns

afloat, ndarray, shape $(n,n)$

The $n\times n$ principal matrix logarithm, $\log \left(A\right)$.

efloat, ndarray, shape $(n,n)$

The Fréchet derivative $L(A,E)$

Raises

NagValueError

(errno $-1$)

On entry, $n=⟨value⟩$.

Constraint: $n\ge 0$.

(errno $1$)

$A$ is singular so the logarithm cannot be computed.

(errno $2$)

$A$ has eigenvalues on the negative real line. The principal logarithm is not defined in this case; complex_gen_matrix_frcht_log() can be used to return a complex, non-principal log.

(errno $4$)

An unexpected internal error occurred. This failure should not occur and suggests that the function has been called incorrectly.

Warns

NagAlgorithmicWarning

(errno $3$)

$\log \left(A\right)$ has been computed using an IEEE double precision Padé approximant, although the arithmetic precision is higher than IEEE double precision.

Notes

For a matrix with no eigenvalues on the closed negative real line, the principal matrix logarithm $\log \left(A\right)$ is the unique logarithm whose spectrum lies in the strip $\left\{z:-\pi <Im\left(\left(z\right)<\pi \right)\right\}$.

The Fréchet derivative of the matrix logarithm of $A$ is the unique linear mapping $E⟼L(A,E)$ such that for any matrix $E$

$$\log (A+E)-\log \left(A\right)-L(A,E)=o\left(\parallel E\parallel \right)\text{.}$$

The derivative describes the first order effect of perturbations in $A$ on the logarithm $\log \left(A\right)$.

real_gen_matrix_frcht_log uses the algorithm of Al–Mohy et al. (2012) to compute $\log \left(A\right)$ and $L(A,E)$. The principal matrix logarithm $\log \left(A\right)$ is computed using a Schur decomposition, a Padé approximant and the inverse scaling and squaring method. The Padé approximant is then differentiated in order to obtain the Fréchet derivative $L(A,E)$.

References

Al–Mohy, A H and Higham, N J, 2011, Improved inverse scaling and squaring algorithms for the matrix logarithm, SIAM J. Sci. Comput. (34(4)), C152–C169

Al–Mohy, A H, Higham, N J and Relton, S D, 2012, Computing the Fréchet derivative of the matrix logarithm and estimating the condition number, SIAM J. Sci. Comput. (35(4)), C394–C410

Higham, N J, 2008, Functions of Matrices: Theory and Computation, SIAM, Philadelphia, PA, USA