Algorithms for the rational approximation of matrix-valued functions

13 Mar 2020  ·  Ion Victor Gosea, Stefan Güttel ·

A selection of algorithms for the rational approximation of matrix-valued functions are discussed, including variants of the interpolatory AAA method, the RKFIT method based on approximate least squares fitting, vector fitting, and a method based on low-rank approximation of a block Loewner matrix. A new method, called the block-AAA algorithm, based on a generalized barycentric formula with matrix-valued weights is proposed. All algorithms are compared in terms of obtained approximation accuracy and runtime on a set of problems from model order reduction and nonlinear eigenvalue problems, including examples with noisy data. It is found that interpolation-based methods are typically cheaper to run, but they may suffer in the presence of noise for which approximation-based methods perform better.

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Numerical Analysis Numerical Analysis 41A20, 65D15