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35 Functions of Matrix ArgumentComputation

§35.10 Methods of Computation

For small values of 𝐓 the zonal polynomial expansion given by (35.8.1) can be summed numerically. For large 𝐓 the asymptotic approximations referred to in §35.7(iv) are available.

Other methods include numerical quadrature applied to double and multiple integral representations. See Yan (1992) for the F11 and F12 functions of matrix argument in the case m=2, and Bingham et al. (1992) for Monte Carlo simulation on 𝐎(m) applied to a generalization of the integral (35.5.8).

Koev and Edelman (2006) utilizes combinatorial identities for the zonal polynomials to develop computational algorithms for approximating the series expansion (35.8.1). These algorithms are extremely efficient, converge rapidly even for large values of m, and have complexity linear in m.