Matrix powers in finite precision arithmetic

Nicholas J Higham, Philip A Knight

Research output: Contribution to journalArticle

Abstract

If A is a square matrix with spectral radius less than 1 then $A^k \to 0\,{\text{as}}\,k \to \infty $, but the powers computed in finite precision arithmetic may or may not converge. We derive a sufficient condition for $fl( A^k ) \to 0\,{\text{as}}\,k \to \infty $ and a bound on $\| fl ( A^k ) \|$, both expressed in terms of the Jordan canonical form of A. Examples show that the results can be sharp. We show that the sufficient condition can be rephrased in terms of a pseudospectrum of A when A is diagonalizable, under certain assumptions. Our analysis leads to the rule of thumb that convergence or divergence of the computed powers of A can be expected according as the spectral radius computed by any backward stable algorithm is less than or greater than 1.
Original languageEnglish
Pages (from-to)343-358
Number of pages16
JournalSIAM Journal on Matrix Analysis and Applications
Volume16
Issue number2
DOIs
Publication statusPublished - 1995

Keywords

  • precision arithmetic
  • square matrix

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