Integral representations for higher-order Fréchet derivatives of matrix functions: Quadrature algorithms and new results on the level-2 condition number

Abstract

We propose an integral representation for the higher-order Fréchet derivative of analytic matrix functions $f(A)$ which unifies known results for the first-order Fréchet derivative of general analytic matrix functions and for higher-order Fréchet derivatives of $A^{-1}$. We highlight two applications of this integral representation: On the one hand, it allows to find the exact value of the level-2 condition number (i.e., the condition number of the condition number) of $f(A)$ for a large class of functions $f$ when $A$ is Hermitian. On the other hand, it also allows to use numerical quadrature methods to approximate higher-order Fréchet derivatives. We demonstrate that in certain situations -- in particular when the derivative order $k$ is moderate and the direction terms in the derivative have low-rank structure -- the resulting algorithm can outperform established methods from the literature by a large margin.