Stability of the Lanczos Method for Matrix Function Approximation

The ubiquitous Lanczos method can approximate $f(A)x$ for any symmetric $n times n$ matrix $A$, vector $x$, and function $f$. In exact arithmetic, the methods error after $k$ iterations is bounded by the error of the best degree-$k$ polynomial uniformly approximating $f(x)$ on the range $[lambda_{min}(A), lambda_{max}(A)]$. However, despite decades of work, it has been unclear if this powerful guarantee holds in finite precision. We resolve this problem, proving that when $max_{x in [lambda_{min}, lambda_{max}]}|f(x)| le C$, Lanczos essentially matches the exact arithmetic guarantee if computations use roughly $log(nC|A|)$ bits of precision. Our proof extends work of Druskin and Knizhnerman [DK91], leveraging the stability of the classic Chebyshev recurrence to bound the stability of any polynomial approximating $f(x)$. We also study the special case of $f(A) = A^{-1}$, where stronger guarantees hold. In exact arithmetic Lanczos performs as well as the best polynomial approximating $1/x$ at each of $A$s eigenvalues, rather than on the full eigenvalue range. In seminal work, Greenbaum gives an approach to extending this bound to finite precision: she proves that finite precision Lanczos and the related CG method match any polynomial approximating $1/x$ in a tiny range around each eigenvalue [Gre89]. For $A^{-1}$, this bound appears stronger than ours. However, we exhibit matrices with condition number $kappa$ where exact arithmetic Lanczos converges in $polylog(kappa)$ iterations, but Greenbaums bound predicts $Omega(kappa^{1/5})$ iterations. It thus cannot offer significant improvement over the $O(kappa^{1/2})$ bound achievable via our result. Our analysis raises the question of if convergence in less than $poly(kappa)$ iterations can be expected in finite precision, even for matrices with clustered, skewed, or otherwise favorable eigenvalue distributions.