dc.description.abstract | Optimal averaged Gauss quadrature rules provide estimates for the quadrature error in Gauss rules, as well as estimates for the error incurred when approximating
matrix functionals of the form u
T
f (A)v with a large matrix A ∈ R
N×N by lowrank approximations that are obtained by applying a few steps of the symmetric or
nonsymmetric Lanczos processes to A; here u, v ∈ R
N
are vectors. The latter process
is used when the measure associated with the Gauss quadrature rule has support in
the complex plane. The symmetric Lanczos process yields a real tridiagonal matrix,
whose entries determine the recursion coefficients of the monic orthogonal polynomials
associated with the measure, while the nonsymmetric Lanczos process determines a
nonsymmetric tridiagonal matrix, whose entries are recursion coefficients for a pair of
sets of bi-orthogonal polynomials. Recently, it has been shown, by applying the results
of Peherstorfer, that optimal averaged Gauss quadrature rules, which are associated
with a nonnegative measure with support on the real axis, can be expressed as a
weighted sum of two quadrature rules. This decomposition allows faster evaluation of
optimal averaged Gauss quadrature rules than the previously available representation.
The present paper provides a new self-contained proof of this decomposition that
is based on linear algebra techniques. Moreover, these techniques are generalized to
determine a decomposition of the optimal averaged quadrature rules that are associated
with the tridiagonal matrices determined by the nonsymmetric Lanczos process. Also,
the splitting of complex symmetric tridiagonal matrices is discussed. The new splittings
allow faster evaluation of optimal averaged Gauss quadrature rules than the previously
available representations. Computational aspects are discussed. | sr |