The ADI method for bounded real and positive real Lur'e equations (Q512158): Difference between revisions

An algorithm (whose idea is based on the ADI iteration technique employed for algebraic Riccati equations), is proposed for the numerical solution of Lur'e equations. These equations are much more general than the well-studied algebraic Riccati equations. The algorithm yields approximate solutions in low-rank factored form. Each iteration consists of the solution of a linear system involving a shift parameter. The sequence of approximations is shown to be monotonically increasing and when one chooses the shift parameters appropriately, then it converges to the minimal solution of Lur'e equations. An illustrative numerical example is included to demonstrate the applicability of the developed technique.