Fast non-Hermitian Toeplitz eigenvalue computations, joining matrix-less algorithms and FDE approximation matrices

TL;DR

This paper develops a high-precision, matrix-less algorithm for computing eigenvalues of non-Hermitian Toeplitz matrices with complex symbols, applicable to fractional diffusion equations, with cost independent of matrix size.

Contribution

It introduces a complete asymptotic expansion for eigenvalues and combines it with matrix-less algorithms for efficient, high-precision eigenvalue computation of non-Hermitian Toeplitz matrices.

Findings

Eigenvalue asymptotic expansion derived for non-Hermitian Toeplitz matrices.

Proposed algorithms have computational cost independent of matrix size.

Numerical results demonstrate high accuracy and efficiency.

Abstract

The present work is devoted to the eigenvalue asymptotic expansion of the Toeplitz matrix $T_{n}(a)$ whose generating function $a$ is complex valued and has a power singularity at one point. As a consequence, $T_{n}(a)$ is non-Hermitian and we know that the eigenvalue computation is a non-trivial task in the non-Hermitian setting for large sizes. We follow the work of Bogoya, B\"ottcher, Grudsky, and Maximenko and deduce a complete asymptotic expansion for the eigenvalues. After that, we apply matrix-less algorithms, in the spirit of the work by Ekstr\"om, Furci, Garoni, Serra-Capizzano et al, for computing those eigenvalues. Since the inner and extreme eigenvalues have different asymptotic behaviors, we worked on them independently, and combined the results to produce a high precision global numerical and matrix-less algorithm. The numerical results are very precise and the computational cost of the proposed algorithms is independent of the size of the considered matrices for each eigenvalue, which implies a linear cost when all the spectrum is computed. From the viewpoint of real world applications, we emphasize that the matrix class under consideration includes the matrices stemming from the numerical approximation of fractional diffusion equations. In the final conclusion section a concise discussion on the matter and few open problems are presented.