Computation of the Exponential of Large Sparse Skew-Symmetric Matrices

In this paper we consider methods for evaluating both exp(A) and $exp(\tau A)q_1$ where ${\rm exp}(\cdot)$ is the exponential function, A is a sparse skew-symmetric matrix of large dimension, q1 is a given vector, and $\tau$ is a scaling factor. The proposed method is based on two main steps: A is factorized into its tridiagonal form H by the well-known Lanczos iterative process, and then exp(A) is derived making use of an effective Schur decomposition of H. The procedure takes full advantage of the sparsity of A and of the decay behavior of exp(H). Several applications and numerical tests are also reported.