On the numerical solution of large-scale sparse discrete-time Riccati equations

DOI10.1007/S10444-011-9174-7zbMath1230.65070OpenAlexW2043153343MaRDI QIDQ652581

Peter Benner, Heike Fassbender

Publication date: 14 December 2011

Published in: Advances in Computational Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10444-011-9174-7

zbMATH Keywords

numerical resultsNewton's methodparabolic partial differential equationslinear-quadratic optimal control problemsSmith iterationStein equationsalternating-direction-implicit (ADI) iterationlarge-scale discrete-time algebraic Riccati equationslow-rank factor

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Newton-type methods (49M15) Matrix equations and identities (15A24) Linear-quadratic optimal control problems (49N10) Existence theories for optimal control problems involving partial differential equations (49J20)

Related Items (18)

On discrete algebraic Riccati equations: a rank characterization of solutions ⋮ Low-rank Newton-ADI methods for large nonsymmetric algebraic Riccati equations ⋮ Large-scale Stein and Lyapunov equations, Smith method, and applications ⋮ Computing real low-rank solutions of Sylvester equations by the factored ADI method ⋮ Sparse solution of the Lyapunov equation for large-scale interconnected systems ⋮ On the squared Smith method for large-scale Stein equations ⋮ Efficient handling of complex shift parameters in the low-rank Cholesky factor ADI method ⋮ A low-rank Krylov squared Smith method for large-scale discrete-time Lyapunov equations ⋮ On the convergence of inexact Newton methods for discrete-time algebraic Riccati equations ⋮ Large-scale discrete-time algebraic Riccati equations -- doubling algorithm and error analysis ⋮ Block Arnoldi-based methods for large scale discrete-time algebraic Riccati equations ⋮ Low-rank iterative methods for periodic projected Lyapunov equations and their application in model reduction of periodic descriptor systems ⋮ Efficient techniques for solving the periodic projected Lyapunov equations and model reduction of periodic systems ⋮ Kalman filter Riccati equation for the prediction, estimation, and smoothing error covariance matrices ⋮ Numerical solution to generalized Lyapunov/Stein and rational Riccati equations in stochastic control ⋮ Krylov subspace methods for discrete-time algebraic Riccati equations ⋮ Large-scale algebraic Riccati equations with high-rank constant terms ⋮ Homotopy for Rational Riccati Equations Arising in Stochastic Optimal Control

Uses Software

• Algorithm 705
• CAREX
• LYAPACK
• RICPAC
• Algorithm 432
• benchmodred

Cites Work

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