The Lanczos algorithm and complex Gauss quadrature

Electronic Transactions on Numerical Analysis

Stefano Pozza¹ 

关键词: quasi-definite linear functionals;    Gauss quadrature;    formal orthogonal polynomials;    complex Jacobi matrices;    matching moments;    Lanczos algorithm.;   

DOI  :  

学科分类：数学（综合）

来源: Kent State University * Institute of Computational Mathematics

【 摘 要 】

Gauss quadrature can be naturally generalized in order to approximate quasi-definite linear functionals, where the interconnections with (formal) orthogonal polynomials, (complex) Jacobi matrices, and the Lanczos algorithm are analogous to those in the positive definite case. In this survey we review these relationships with giving references to the literature that presents them in several related contexts. In particular, the existence of the n-weight (complex) Gauss quadrature corresponds to successfully performing the first n steps of the Lanczos algorithm for generating biorthogonal bases of the two associated Krylov subspaces. The Jordan decomposition of the (complex) Jacobi matrix can be explicitly expressed in terms of the Gauss quadrature nodes and weights and the associated orthogonal polynomials. Since the output of the Lanczos algorithm can be made real whenever the input is real, the value of the Gauss quadrature is a real number whenever all relevant moments of the quasi-definite linear functional are real.

【 授权许可】

Unknown