Evaluating Non-Analytic Functions of Matrices

Abstract

The paper revisits the classical problem of evaluating $f(A)$ for a real function $f$ and a matrix $A$ with real spectrum. The evaluation is based on expanding $f$ in Chebyshev polynomials, and the focus of the paper is to study the convergence rates of these expansions. In particular, we derive bounds on the convergence rates which reveal the relation between the smoothness of $f$ and the diagonalizability of the matrix A. We present several numerical examples to illustrate our analysis.