On computing the eigenvalues of a symplectic pencil (Q1260805)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On computing the eigenvalues of a symplectic pencil |
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On computing the eigenvalues of a symplectic pencil (English)
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25 August 1993
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An algorithm is presented for computing the eigenvalues of a symplectic matrix pencil which arises in solving the discrete-time algebraic Riccati equation. The algorithm uses only orthogonal transformations and needs about a quarter as many floating-point operations as the QZ algorithm in this case. The method is roughly analogous to the method of \textit{C. van Loan} [ibid. 61, 233-251 (1984; Zbl 0565.65018)] for computing eigenvalues of Hamiltonian matrices.
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comparison of algorithms
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algorithm
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eigenvalues
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symplectic matrix pencil
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discrete-time algebraic Riccati equation
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QZ algorithm
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Hamiltonian matrices
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