Krylov Subspace Recycling with Randomized Sketching for Matrix Functions
Liam Burke, Stefan Güttel · SIAM Journal on Matrix Analysis and Applications · 2024
Abstract. A Krylov subspace recycling method for the efficient evaluation of a sequence of matrix functions acting on a set of vectors is developed. The method improves over the recycling methods presented in [L. Burke et al., Krylov Subspace Recycling for Matrix Functions, Technical report, arXiv:2209.14163, 2022] in that it uses a closed-form expression for the augmented full orthogonalization method (FOM) approximants and hence circumvents the use of numerical quadrature. We further extend our method to use randomized sketching in order to avoid the arithmetic cost of orthogonalizing a full Krylov basis, offering an attractive solution to the fact that recycling algorithms built from shifted augmented FOM cannot easily be restarted. The efficacy of the proposed algorithms is demonstrated with numerical experiments.