Computation of matrix gamma function
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Matrix functions have a major role in science and engineering. One of the fundamental matrix functions, which is particularly important due to its connections with certain matrix differential equations and other special matrix functions, is the matrix gamma function. This research article focus on the numerical computation of this function. Well-known techniques for the scalar gamma function, such as Lanczos, Spouge and Stirling approximations, are extended to the matrix case. This extension raises many challenging issues and several strategies used in the computation of matrix functions, like Schur decomposition and block Parlett recurrences, need to be incorporated to make the methods more effective. We also propose a fourth technique based on the reciprocal gamma function that is shown to be competitive with the other three methods in terms of accuracy, with the advantage of being rich in matrix multiplications. Strengths and weaknesses of the proposed methods are illustrated with a set of numerical examples. Bounds for truncation errors and other bounds related with the matrix gamma function will be discussed as well.
KeywordsGamma matrix function Lanczos method Spouge method Stirling approximation Reciprocal gamma function Schur decomposition Block Parlett recurrence
Mathematics Subject Classification65F30 65F60 33B15
We would like to thank the anonymous reviewers for their helpful suggestions and comments. The work of the first author was supported by ISR-University of Coimbra (project UID/EEA/00048/2013) funded by “Fundação para a Ciência e a Tecnologia” (FCT). The work of the corresponding author is supported by Robat Karim branch, Islamic Azad University, Tehran, Iran.
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