RADI: a low-rank ADI-type algorithm for large scale algebraic Riccati equations (Q681696): Difference between revisions

The authors propose a new alternating direction implicit (ADI)-type iteration for Riccati equations. In this new algorithm, the low rank factors are built incrementally: in each step, each factor is expanded by several columns and/or rows, while keeping the elements from the previous steps intact. By setting the quadratic coefficient of the equation to zero, their method reduces to the low-rank formulation of the Lyapunov ADI method.