Uniform-in-time rational approximation of the matrix exponential with real poles

Abstract

We propose two new approaches for constructing families of rational functions with shared real poles that nearly uniformly approximate the functions $\exp (-tz)$ for $z\ge 0$ and $t$ in a positive time interval. The first result concerns the case where all real poles coalesce into a single point. With an appropriate choice of a weight function we are able to derive a closed formula for the asymptotically optimal location of such a pole. We then discuss the more general case where all real poles are distinct. Using Zolotarev's construction of certain optimal rational functions, we present a simple algorithm to derive nearly optimal poles efficiently. We analyze the stability of the numerical evaluation of the resulting rational matrix functions in floating-point arithmetic. By controlling the growth of potential ill-conditioning arising from partial fractions, reliable and highly parallelizable exponential propagators are obtained.