The complex step approximation to the Fréchet derivative of a matrix function

摘要

We show that the Fréchet derivative of a matrix function f at A in the direction E, where A and E are real matrices, can be approximated by Im f(A + ihE)/h for some suitably small h. This approximation, requiring a single function evaluation at a complex argument, generalizes the complex step approximation known in the scalar case. The approximation is proved to be of second order in h for analytic functions f and also for the matrix sign function. It is shown that it does not suffer the inherent cancellation that limits the accuracy of finite difference approximations in floating point arithmetic. However, cancellation does nevertheless vitiate the approximation when the underlying method for evaluating f employs complex arithmetic. The ease of implementation of the approximation, and its superiority over finite differences, make it attractive when specialized methods for evaluating the Fréchet derivative are not available, and in particular for condition number estimation when used in conjunction with a block 1-norm estimation algorithm. Keywords Fréchet derivative - Matrix function - Complex step approximation - Complex arithmetic - Finite difference - Matrix sign function - Condition number estimation - Block 1-norm estimator Mathematics Subject Classifications (2000) 15A60 - 65F30 The work of the second author was supported by a Royal Society-Wolfson Research Merit Award and by Engineering and Physical Sciences Research Council grant EP/D079403.