Recursion relations for the extended Krylov subspace method

The evaluation of matrix functions of the form f(A)v, where A is a large sparse or structured symmetric matrix, f is a nonlinear function, and v is a vector, is frequently subdivided into two steps: first an orthonormal basis of an extended Krylov subspace of fairly small dimension is determined, and then a projection onto this subspace is evaluated by a method designed for small problems. This paper derives short recursion relations for orthonormal bases of extended Krylov subspaces of the type Km,mi+1(A)=span{A-m+1v,…,A-1v,v,Av,…,Amiv}, m=1,2,3,…, with i a positive integer, and describes applications to the evaluation of matrix functions and the computation of rational Gauss quadrature rules.