Sobolev-Orthogonal Systems with Tridiagonal Skew-Hermitian Differentiation Matrices

06/15/2022

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by   Arieh Iserles, et al.

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We introduce and develop a theory of orthogonality with respect to Sobolev inner products on the real line for sequences of functions with a tridiagonal, skew-Hermitian differentiation matrix. While a theory of such L2-orthogonal systems is well established, Sobolev orthogonality requires new concepts and their analysis. We characterise such systems completely as appropriately weighed Fourier transforms of orthogonal polynomials and present a number of illustrative examples, inclusive of a Sobolev-orthogonal system whose leading N coefficients can be computed in 𝒪(N log N) operations.