Volume 50, pp. 1-19, 2018.

The Lanczos algorithm and complex Gauss quadrature

Stefano Pozza, Miroslav S. Pranić, and Zdeněk Strakoš

Abstract

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.

Full Text (PDF) [333 KB]

Key words

quasi-definite linear functionals, Gauss quadrature, formal orthogonal polynomials, complex Jacobi matrices, matching moments, Lanczos algorithm.

AMS subject classifications

65D15, 65D32, 65F10, 47B36

Links to the cited ETNA articles

[28]Vol. 41 (2014), pp. 13-20 Andreas Günnel, Roland Herzog, and Ekkehard Sachs: A note on preconditioners and scalar products in Krylov subspace methods for self-adjoint problems in Hilbert space

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