Substitution algorithms for rational matrix equations

Abstract

We study equations of the form $r(X) = A$, where $r$ is a rational function and $A$ and $X$ are square matrices of the same size. We develop two techniques for solving these equations by inverting, through a substitution strategy, two schemes for the evaluation of rational functions of matrices. For block triangular matrices, the new methods yield the same computational cost as the evaluation schemes from which they are obtained. A general equation is reduced to block upper triangular form by exploiting the Schur decomposition of the given matrix. For real data, using the real Schur decomposition, the algorithms compute the real solutions using only real arithmetic, and numerical experiments show that our implementations are superior, in terms of both accuracy and speed, to existing alternatives. Finally, we discuss how these techniques can be used as building blocks in algorithms for computing functions of matrices defined through matrix equation of the type $f(X) = A$, where $f$ is a primary matrix function.