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kgourgou/funm_randomized

Forked from higham/funm_randomized
Created April 20, 2017 16:37
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funm_randomized
function F = funm_randomized(A,fun)
%FUNM_RANDOMIZED Evaluate general matrix function using
% randomized approximate diagonalization method of Davies (2007).
tol = 8*eps(A(1,1)); % Tolerance for single or double precision A.
E = randn(size(A));
[V,D] = eig(A + (tol*norm(A,'fro')/norm(E,'fro'))*E);
F = V*diag(fun(diag(D)))/V;
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