On the parameter selection problem in the Newton-ADI iteration for large-scale Riccati equations

zbMath1171.65402MaRDI QIDQ836739

Jens Saak, Peter Benner, Hermann Mena

Publication date: 8 September 2009

Published in: ETNA. Electronic Transactions on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/130671

zbMATH Keywords

parabolic partial differential equationsLyapunov equationalgebraic Riccati equationnumerical examplesZolotarev problemalternating direction implicit (ADI) algorithmlinear-quadratic regulator problemsrational min-max problemshift parameters

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Newton-type methods (49M15) Existence of solutions for minimax problems (49J35) Linear-quadratic optimal control problems (49N10) Existence theories for optimal control problems involving partial differential equations (49J20) Acceleration of convergence in numerical analysis (65B99)

Related Items (13)

Inexact Newton's method with inner implicit preconditioning for algebraic Riccati equations ⋮ A preconditioned low-rank CG method for parameter-dependent Lyapunov matrix equations ⋮ Some predictor-corrector-type iterative schemes for solving nonsymmetric algebraic Riccati equations arising in transport theory ⋮ Feedback Control for Systems with Uncertain Parameters Using Online-Adaptive Reduced Models ⋮ On an integrated Krylov-ADI solver for large-scale Lyapunov equations ⋮ Low memory and low complexity iterative schemes for a nonsymmetric algebraic Riccati equation arising from transport theory ⋮ An iterative method for solving the stable subspace of a matrix pencil and its application ⋮ Efficient techniques for solving the periodic projected Lyapunov equations and model reduction of periodic systems ⋮ A stabilization algorithm of the Navier–Stokes equations based on algebraic Bernoulli equation ⋮ Frequency-Limited Balanced Truncation with Low-Rank Approximations ⋮ On the ADI method for Sylvester equations ⋮ Rational Krylov approximation of matrix functions: Numerical methods and optimal pole selection ⋮ Some accelerated iterative algorithms for solving nonsymmetric algebraic Riccati equations arising in transport theory

Uses Software

• SLICOT
• LYAPACK

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