Naslov
On the solution of large-scale algebraic Riccati equations by using low-dimensional invariant subspaces

Autori
Benner, Peter ; Bujanović, Zvonimir

Izvornik
Linear algebra and its applications (0024-3795) 488 (2016); 430-459

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
matrix equations ; algebraic Riccati equations ; Hamiltonian matrices ; invariant subspaces ; Krylov subspaces ; ADI iteration

Sažetak
This article discusses an approach to solving large-scale algebraic Riccati equations (AREs) by computing a low-dimensional stable invariant subspace of the associated Hamiltonian matrix. We give conditions on AREs to admit solutions of low numerical rank and show that these can be approximated via Hamiltonian eigenspaces. We discuss strategies on choosing the proper eigenspace that yields a good approximation, and different formulas for building the approximation itself. Similarities of our approach with several other methods for solving AREs are shown: closely related are the projection-type methods that use various Krylov subspaces and the qADI algorithm. The aim of this paper is merely to analyze the possibilities of computing approximate Riccati solutions from low-dimensional subspaces related to the corresponding Hamiltonian matrix and to explain commonalities among existing methods rather than providing a new algorithm.

Izvorni jezik
Engleski

Znanstvena područja
Matematika

POVEZANOST RADA