Numerical Linear Algebra with Applications, Vol.

2(3), 205217 (1995)

Krylov Subspace Approximation
of Eigenpairs and Matrix Functions
in Exact and Computer Arithmetic
Vladimir Druskin
Schlumberger-Doll Research, Old Quarry Road, Ridgeeld, CT 06877-4108, the U.S.A;
E-mail druskin@sdr.slb.com
and
Leonid Knizhnerman
Central Geophysical Expedition, Russia, 123298, Moscow, Narodnogo Opolcheniya St.,
house 40, build. 3; E-mail knizhner@cgemath.msk.su
Many researchers are now working on computing the product of a matrix function and a vector,
using approximations in a Krylov subspace. We review our results on the analysis of one implemen-
tation of that approach for symmetric matrices, which we call the Spectral Lanczos Decomposition
Method (SLDM).
We have proved a general convergence estimate, relating SLDM error bounds to those obtained
through approximation of the matrix function by a part of its Chebyshev series. Thus, we arrived
at eective estimates for matrix functions arising when solving parabolic, hyperbolic and elliptic
partial dierential equations. We concentrate on the parabolic case, where we obtain estimates
that indicate superconvergence of SLDM. For this case a combination of SLDM and splitting
methods is also considered and some numerical results are presented.
We implement our general estimates to obtain convergence bounds of Lanczos approximations
to eigenvalues in the internal part of the spectrum. Unlike Kaniel-Saad estimates, our estimates
are independent of the set of eigenvalues between the required one and the nearest spectrum
bound.
We consider an extension of our general estimate to the case of the simple Lanczos method
(without reorthogonalization) in nite computer arithmetic which shows that for a moderate
dimension of the Krylov subspace the results, proved for the exact arithmetic, are stable up to
roundo.
KEY WORDS Lanczos method, Spectral Lanczos Decomposition Method, eigen-
pairs, matrix functions
10705325/95/03020513$11.50 Received I do not remember
c 1995 by John Wiley & Sons, Ltd. Revised I do not remember
206 Vladimir Druskin, Leonid Knizhnerman
1. Introduction
This paper is a review of the authors results on Krylov approximations to the
product of a matrix function and a vector and of the Lanczos method, published
(mainly in the former Soviet Union) in dierent journal papers, deposited papers
and technical reports.
Let A be a symmetric n n matrix. The Lanczos method has become accepted
as a powerful tool for nding eigenpairs of A, at least, if A is large and sparse.
The Lanczos method, however, has other applications. Namely, let f be a function,
dened on the spectral interval of A, and R
n
. Let us consider computation of
the vector
u = f(A). (1.1)
Solving systems of linear equations is a problem of this sort (f(A) = A
1
). Also,
such problems appear in mathematical physics, when solving semidiscrete approxi-
mations of partial dierential equations with coecients independent of one of the
variables (f(A) = exp(tA), f(A) = cos(tA
1/2
) and f(A) = exp(tA
1/2
), when
solving parabolic, hyperbolic and elliptic equations, respectively).
Explicit methods, where f(A) is approximated by a polynomial of A, are widely
used to compute u. Consider next some common properties of such methods.
Denote the eigenvalues of A by
i
, i = 1, . . . , n, and the corresponding orthonor-
mal eigenvectors by z
i
. If the decomposition of in terms of z
i
is
=
n

i=1

i
z
i
, (1.2)
then
u =
n

i=1

i
f(
i
)z
i
.
Let us take the vector p(A), with p a polynomial of degree m 1, as an
approximate value of u. The error norm is
|u p(A)| =
_
_
_
_
_
n

i=1

i
(f p)(
i
)z
i
_
_
_
_
_
=

_
n

i=1

2
i
(f p)
2
(
i
). (1.3)
Thus, the problem has been reduced to discrete polynomial approximation to f
with the nodes
i
and the weights
2
i
.
With polynomial methods, computer time is mostly consumed by multiplying A
by vectors. Therefore, the integer m needed to attain a given accuracy is the most
important characteristic of such a method. One can easily see that for any xed m
the minimum in (1.3) is attained if and only if p is the initial m terms of the Fourier
series of f in the (
i
,
2
i
)-orthogonal polynomials. The Lanczos process, which was
initially intended for computation of the spectrum of A, allows one to build up the
discrete orthogonal polynomials whose weight approximates (
i
,
2
i
) in a certain
sense.
For problem (1.1), the Lanczos process was rst applied to linear systems [20,
24, 25], and then to one-dimensional [15, 16] and multidimensional [3, 12] parabolic
7/1/2000 16:10 PAGE PROOFS parlkah3
Krylov Subspace Approximation 207
and hyperbolic equations. The general scheme of applying the Lanczos process to
solving (1.1) (see 2) was suggested in [2, 4] and in another form in [28]. See also
[8, 9, 14, 21].
Error bounds for computation of (1.1) in general ( 3) and for some concrete forms
of f (most common, mentioned above) ( 4 - 6) are given below. The application of
our results to the proper Lanczos method (for calculating eigenpairs) is also stated
( 7).
Computer arithmetic noticeably inuences the Lanczos method ( 8). Our results
are extended to nite computer arithmetic in 9 - 10.
2. The Spectral Lanczos Decomposition Method
Consider the result of m steps in the Lanczos process for approximate computation
of eigenpairs of A [23, ch. 13]. In the Krylov subspace
/
m
= span (, A, . . . , A
m1
),
obtain the basis q
1
, . . . , q
m
as the result of Gram-Schmidt orthogonalization of the
vectors , A, . . . , A
m1
. The orthogonalization can be carried out indirectly by
using the following three term recurrence:
Aq
i
=
i1
q
i1
+
i
q
i
+
i
q
i+1
, i = 1, . . . , m,
where
0
q
0
is assumed to be 0, q
1
= /||,
i
0. Denote by H the tridiagonal
symmetric matrix
H =
_
_
_
_

1

1
0

1

2

2

0
m1

m
_
_
_
_
,
by
i
, s
i
= (s
1i
, . . . , s
mi
)
T
, i = 1, . . . , m, the eigenvalues and corresponding nor-
malized eigenvectors of H. Dene e
i
as the i-th unit m-vector, Q = (q
1
. . . q
m
),
y
i
= Qs
i
. Then (
i
, y
i
) are the approximate eigenpairs of the matrix A obtained
with Ritz method, as applied to /
m
. In view of (1.2) and the orthonormality of the
matrix (s
1
. . . s
m
), we have
= ||q
1
= ||Qe
1
= ||Q
m

i=1
s
1i
s
i
= ||
m

i=1
s
1i
y
i
,
which is why it is natural to take the vector
u
m
= ||
m

i=1
s
1i
f(
i
)y
i
= ||Q
m

i=1
s
1i
f(
i
)s
i
= ||Qf(H)e
1
as an approximation to u. This denition is correct, because the spectrum of H is
contained in the spectral segment of A.
The method that has just been described is called the spectral Lanczos decom-
position method (shortly, SLDM).
7/1/2000 16:10 PAGE PROOFS parlkah3
208 Vladimir Druskin, Leonid Knizhnerman
Usually, computation of Q and H is the most time-consuming part of the SLDM.
The way of computing Qf(H)e
1
depends on a concrete application. Sometimes a
tridiagonal system of linear algebraic equations (e.g., f(H) = (H i)
1
,
R) or a system of ordinary dierential equations with a tridiagonal matrix (e.g.,
f(H) = exp(tH)) can be solved. In some cases the use of Chebyshev expansion
of f is preferable. The standard way is to solve the full eigenproblem for H and to
use one of the two expressions:
m

i=1
s
1i
f(
i
)y
i
or Q
m

i=1
s
1i
f(
i
)s
i
,
dependently on how many functions (say, how many time moments t in exp(tH))
you want to handle simultaneously and in how many nodes of R
n
you want to know
the solution.
To terminate the Lanczos process properly, we compute u
m
for dierent m and
exploit a suitable stabilization criterion.
3. The General SLDM Error Bound
Assume further that A is not scalar, that is
n
= max
i

i
> min
i

i
=
1
. Assign
B =
(
n
+
1
)I 2A

1
, g(x) = f
_

n
+
1
(
n

1
)x
2
_
,
then I B I and the function g is dened on the segment [1, 1]. Let us
consider the Chebyshev series of the rst kind
g(x) =

k=0
g
k
T
k
(x). (3.4)
Theorem 3.1. If series (1.1) converges absolutely on [1, 1], then the inequality
|u u
m
| 2||

k=m
[g
k
[
holds [4].
Theorem 3.1, in general, cannot be substantially improved. An example has been
found where the error is greater than the right-hand side of theorem 3.1s inequality
multiplied by
_
3/8. This example is: A = (a
ij
), a
ij
= 1/

2, if [i j[ =1 and
i + j = 3, a
ij
= 1/2, if [i j[ = 1 and i + j > 3, and a
ij
= 0 elsewhere; = e
(n)
1
;
f = T
2m
, n > 2m; and |u u
m
| =

1.5.
4. Computation of exp(tA)
Let us assume that A 0, i.e.
1
0. Evidently,
u(t) = exp(tA) = exp
_
t
n
(I B)
2
_
= exp
_
t
n
2
_
exp
_

n
B
2
_

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Krylov Subspace Approximation 209
with B = I 2A/
n
, I B I. Using the expansion
e
ax
= I
0
(a) + 2

k=1
I
k
(a)T
k
(x)
(I
k
is the Bessel function [11]), one easily nds that
u(t) = exp
_
t
n
2
_
_
I
0
_
t
n
2
_
+ 2

k=1
I
k
_
t
n
2
_
T
k
(B)
_
,
so that
g
k
= 2I
k
_
t
n
2
_
for k 1. (4.5)
Theorem 4.1. Let a =
tn
2
and m a. Then the error bound
|u u
m
|
||

_

2 + O
_
m
a
__

a
m
exp
_

m
2
2a
+ O
_
m
4
a
3
__
holds [4].
The proof uses (4.5) and the asymptotics for I
k
.
The estimate shows that for large t the SLDM convergence is faster than expo-
nential, and the number of Lanczos steps m to reach given accuracy is proportional
to

t.
5. Computation of exp(tA) with Splitting
SLDM can be eectively used for acceleration of time-stepping parabolic equation
solvers.
Imagine that we want to compute exp(tA) from 4, using a splitting scheme,
for instance, the one-cycle scheme with the transitional operator
A

=
_
I +

2
A
1
_
1
_
I

2
A
1
__
I +

2
A
2
_
1
_
I

2
A
2
_
,
where A = A
1
+ A
2
, A
1
0, A
2
0, A
1
A
2
= A
2
A
1
and > 0 is the time step.
Then the approximate solution can be written as
u
()
(t) = A
s

(5.6)
for any integer quotient s = t/. It is known that A

is symmetric and I A

I.
For other variants of splitting we may have 0 A

I. We can apply SLDM to

calculating (5.6), that is execute the Lanczos process with the matrix A

instead
of A.
Theorem 5.1. For the approximate solution u
()
m
, generated by m steps of Lanczos
process with A

, 0 A

I, the error bound

_
_
_u
()
u
()
m
_
_
_
||

2
m
_
2s

_
1 + O
_
m
s
_
+ O
_
1
s m
__
exp
_

m
2
s
+ O
_
m
3
s
2
__
,
where s = t/ N, is valid [6].
7/1/2000 16:10 PAGE PROOFS parlkah3
210 Vladimir Druskin, Leonid Knizhnerman
Table 1. The results of the numerical experiment; m is the number of steps, l is the
number of multiplications/step/node.
Exact sol. Exact sol. Standard SLDM + LIM
dierent. semidiscr. SLDM splitting
t problem problem m = 15, l = 10 m = 3, l = 16 m = 3192, l = 6
0.004 0.58517(-1) 0.58517(-1) 0.58516(-1) 0.58518(-1) 0.58523(-1)
0.008 0.54711(-1) 0.54711(-1) 0.54689(-1) 0.54713(-1) 0.54722(-1)
0.016 0.47507(-1) 0.47508(-1) 0.47392(-1) 0.47343(-1) 0.47534(-1)
0.032 0.35155(-1) 0.35160(-1) 0.34955(-1) 0.34842(-1) 0.35218(-1)
0.064 0.18794(-1) 0.18801(-1) 0.18657(-1) 0.18572(-1) 0.18871(-1)
0.128 0.53158(-2) 0.53201(-2) 0.52767(-2) 0.52499(-2) 0.53598(-2)
0.256 0.42489(-3) 0.42557(-3) 0.42189(-3) 0.41940(-3) 0.43196(-3)
0.512 0.27145(-5) 0.27231(-5) 0.26969(-5) 0.26766(-5) 0.28059(-5)
1.024 0.11078(-9) 0.11150(-9) 0.11020(-9) 0.10902(-9) 0.11839(-9)
The proof uses the decomposition
x
s
= 2
2s+1
m

i=0

_
2s
i
_
T

si
(x),
where
_


_
is a binomial coecient, T

k
is the Chebyshev polynomial, shifted
onto the segment [0, 1], and the

-sign at

means that the member with T

0
is to
be divided by 2.
The estimate shows that, to attain the same accuracy, the updated solver only
needs the square root of the number of steps of the original one.
Numerical example. Let us consider the model problem
u +
u
t
= 0, (x, y) =]0, 1[
2
(t > 0),
u(x, y, t)[
t=0
= x(1 x)y(1 y), u[
(x,y)
= 0.
Approximating the Laplacian as usual on the rectangular grid with the step h =
1/51, we get a second-order semidiscrete scheme with spatial operator A. This
scheme has been solved by the two methods described above and by local itera-
tion [13]. The results of the comparison for the point (
25
51
,
25
51
) are presented in the
table, where m denotes the number of matrix-vector multiplications. The splitting
methods time step equals 410
3
. The experiment demonstrates the large speed-up
of SLDM compared with conventional explicit and implicit methods.
6. Other Matrix Functions [4]
We shall assume here that || = 1.
a) u(t) = cos(t

A), A 0.
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Krylov Subspace Approximation 211
This vector function satises the hyperbolic Cauchy problem
Au +
d
2
u
dt
2
= 0, u(0) = ,
du
dt
(0) = 0.
If =
2

n
, x =
2t

, =
2m
x
1 and for all that 0 < 1, then
|u u
m
|
exp
_

x(2)
1.5
3
_
2

4m
2
x
2
(some O-terms have been omitted). So, for m > t/, SLDM converges very fast,
being the maximal time step of the explicit scheme according to the Courant
FriedrichsLevy condition.
b) u(z) = exp(z

A),
1
> 0.
This vector function satises the elliptical Dirichlet problem
Au
d
2
u
dz
2
= 0 (z > 0), u(0) = , u(+) = 0.
If c =
n+1
n1
, then
|u u
m
|
2(c)
m
1 (c)
1
,
denotes the inverse Zhukovsky function, (w) = w +

w
2
1. So, when applied
to the N-dimensional elliptic problem with coecients independent of one variable,
SLDM has the same estimate of arithmetical work as solution of the (N 1)-
dimensional problem by conjugate gradients.
c) u = A
1
,
1
> 0 (a symmetric system of linear equations):
|u u
m
| |u|
2
1
with = T
m
_
n+1
n1
_
1
.
7. Some Evaluations for Eigenvalues [7]
In order to draw conclusions about convergence of
i
towards the exact eigenvalues
of A, one can take in theorem 3.1 a hat-like polynomial, picking out the required
eigenvalue
r
, as f. We assume here that || = 1.
Theorem 7.1. Let us assume that |A| 1,
r
= 0,
r
,= 0 and m 3. Then i,
1 i m, exists such that
[
i
[
_
4

2
r
2
_ 1
m1
1
2
.
7/1/2000 16:10 PAGE PROOFS parlkah3
212 Vladimir Druskin, Leonid Knizhnerman
Remark If m log
_
4

2
r
2
_
, then the right-hand side of the theorems evaluation
approximately equals
1
2m
log
_
4

2
r
2
_
.
Theorem 7.2. Let us assume that |A| 1,
r
= 0,
r
> 0, [
l
[ > 0 for
l ,= r, k = [
m1
2
] and
= T
k
_
1 +
2
1
2
_
1
satises
<

r
1 +
_
1
2
r
.
Then, there exists such an index j, 1 j m, that the estimate
[
j
[
_
2(1
2
r
)

_
1 +
_
1
2
r
_
is valid.
Theorem 7.2 is similar to Kaniel and Saad estimates [23, 12.4], but, unlike them,
concerns the internal part of the spectrum and is independent of r. The estimate
cannot be essentially improved. As to eigenvectors, a nontrivial estimate cannot be
obtained, but z
r
can be approximated by a linear combination of at most two y
i
with the error of the order of about .
8. Computer Arithmetic General Notes
Since the beginning of the paper we have been dealing with the exact arithmetic.
The real picture, of course, is not as bright as it has been drawn. The Lanczos
method was suggested by Lanczos as early as in 1950, but, because of its instability,
was kept in the background for two decades. The instability manifests itself in the
loss of orthonormality of y
k
s and in the appearance of the parasitic counterparts
to
i
s.
To achieve a suitable level of orthogonality, one can use dierent variants of
reorthogonalization [22, 26, 27]. Unfortunately, such modications are costly, and
a half the number of signicant digits is immediately lost when solving (1.1).
In 1970s Paige [1719] obtained important results clarifying behavior of the simple
(without any reorthogonalization) Lanczos process in computer arithmetic. It was
also empirically pointed out that, in spite of instability, there appear approximations
to all the s among the s, while m increases (so called Lanczos phenomenon [1]).
Using Paiges theorems, we have managed to prove, for computer arithmetic,
analogs of a number of results given here. Their sense can be summarized as follows:
the Lanczos process is unstable by itself, but the error bounds remain stable with
respect to roundo.
Yet Paiges estimates are outstanding theoretically, Parlett [23] and Paige [19]
reckon that they are numerically rough: in todays examples Paiges parameters (see
9) can be quite large, but the real precision is much better. Any improvement of
Paiges results shall automatically make stronger ours.
7/1/2000 16:10 PAGE PROOFS parlkah3
Krylov Subspace Approximation 213
Paige assumed that the matrix would be presented explicitly and, therefore, the
matrix-vector multiplication would be calculated in the standard inner product
manner. In another (implicit or mixed) case the user can independently estimate
the computer error in the computation of Av, v R
n
, and make correspondent
evident changes in Paiges results.
9. Computer Arithmetic Problem (1.1)
Let be the elementary computer roundo error, c
1
the maximal number of nonzero
elements in rows of A,

1
=
_
7 +
c
1
| [A[ |
|A|
_
,
2
=

2 max[12(n + 4),
1
],

3
=
4.5

24
m
1
+

2m(n + 4), = m
2.5
|A|
2
(Paiges parameters). Also, let f be dened on [
1
,
n
+ ],
B =
(
n
+
1
)I 2A

1
+ 2
, g(x) = f
_

n
+
1
(
n

1
+ 2)x
2
_
and g
k
be dened by (3.4).
Theorem 9.1. If
m[6(n + 4) +
1
] 1, (n + 4) <
1
24
(9.7)
and series (3.4) converges absolutely on [1, 1], then the error bound
|u u
m
|
||
4
_
2

|g|

|A|

1
m
3

1
+
10

24

k=m
[g
k
[
is valid for the computation of (1.1) by the simple Lanczos process, where
|g|

_
1
_
1
g(x)
2
dx

1 x
2
[5].
Evidently, theorem 9.1 is an analog of theorem 3.1 for the computer arithmetic.
Theorem 9.1 shows that the simple Lanczos process produces an approximate solu-
tion of (1.1) with stable error evaluation. Figure 1 illustrates the dierence between
theorem 3.1 (in the form of theorem 4.1) and theorem 9.1 in the case of the matrix
exponential.
7/1/2000 16:10 PAGE PROOFS parlkah3
214 Vladimir Druskin, Leonid Knizhnerman
-
100 200 300 400
m
6
-5
-10
-15
log
10
uum

= 3 10
16
= 0
Figure 1. Comparison of the SLDM error estimates for exact arithmetic (theorem 3.1)
and computer arithmetic (theorem 9.1); f(A) = exp(tA), n = 100, n 1000,
1 = 17, t = 50.
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Krylov Subspace Approximation 215
10. Computer Arithmetic Lanczos Phenomenon [5]
Initially, the Lanczos phenomenon was investigated in [1], where a conditional result
was proved.
Taking in theorem 9.1 a cap-like polynomial, picking out the necessary eigen-
value, as f, one can obtain rigorous results on the convergence of eigenvalues in the
simple Lanczos process.
Let us assume that || = 1, |A| 0.9, the necessary eigenvalue of A is
r
= 0,

r
> 0 in expansion (1.2).
Theorem 10.1. (Lanczos phenomenon without using separability). Assume that
conditions (9.7), m 3,
0.1, (10.8)
m
2

1

1
4

0.095
r
take place. Then a number i, 1 i m, exists such that
[
i
[
_
10

6 r
_ 2
m2
1
2
. (10.9)
Remark If
2
m2
log
10

6
r
1,
then the right-hand side of (10.9) approximately equals
1
1
m
log
10

6
r
.
Theorem 10.2. (Lanczos phenomenon using separability). Let m 2, [
l
[ 2 >
0 for l ,= r, k =
_
m1
2

. Assume that (9.7), (10.8) and the conditions

>
6
13
1.8
2
m
2
1

3
,

2
r

m

_
13m
3
6
_
97
48
+ 1.8

m
1
_
+ 0.9
r

m
1
+
_
2
_
2
0.19
m
2

1
+
_
1 +
_
25m
24
_
T
k
_
1 +
2
1
2
_
1
_
_
49
48
+ 1.8

m
1
_
are satised. Then there exists such a number i, 1 i m, that [
i
[ < .
1
Recently L.Knizhnerman announced that

m can be omitted in Theorem 10.1.
7/1/2000 16:10 PAGE PROOFS parlkah3
216 Vladimir Druskin, Leonid Knizhnerman
Theorem 10.2 actually gives exponential decrease of the error down to the order
of about
1/3
. Exponential behavior at the rst stage can be proved by removing the
computer arithmetic terms. Vice versa, if the ideal arithmetic terms are negligibly
small, we, roughly, have the inequality
>

_
/, from what one can derive the
nal estimate
1/3
.
Evidently, theorems 10.1 and 10.2 are computer arithmetic analogs of theo-
rems 7.1 and 7.2, respectively. They are illustrated by [5, tables 1, 2 and gure 1].
One can derive from [10] that in a favourable situation an eigenvalue in the Lanc-
zos process can be nally approximated with error of order of
1/4
. Theorems 10.1
and 10.2, roughly speaking, improve this estimate up to
1/3
.
Acknowledgements
The authors thank the referees and Dr. M.Oristaglio for numerous remarks lead to
essential improvement of the manuscript.
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