A stable algorithm for matrx exponent calculation

T Lazebnik, Sh Yanetz


This article proposes a numerical algorithm for the matrix exponent A(m) = eM calculation, which is stable for every matrix M ∈ Cnxn and for given number k ∈ N of significant digits. The algorithm is based on C. Lanczos method of eigenvalues calculation. A theoretical analysis and proof of stability of the algorithm is given.

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