Truncated low‐rank methods for solving general linear matrix equations

DOI10.1002/nla.1973zbMath1363.65075OpenAlexW2162572068MaRDI QIDQ3466255

Petar Sirković, Daniel Kressner

Publication date: 1 February 2016

Published in: Numerical Linear Algebra with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/nla.1973

zbMATH Keywords

Lyapunov equationnumerical experimentsMatlabgeneralized Lyapunov equationGalerkin projectiongeneral linear matrix equationgreedy low-rankpreconditioned gradients

Mathematics Subject Classification ID

Related Items (16)

Analysis of the Truncated Conjugate Gradient Method for Linear Matrix Equations ⋮ Numerical approximation of Poisson problems in long domains ⋮ Numerical Methods for Large-Scale Lyapunov Equations with Symmetric Banded Data ⋮ Generalized conjugate direction algorithm for solving the general coupled matrix equations over symmetric matrices ⋮ Enhanced alternating energy minimization methods for stochastic Galerkin matrix equations ⋮ Convergence analysis of gradient-based iterative algorithms for a class of rectangular Sylvester matrix equations based on Banach contraction principle ⋮ Greedy low-rank algorithm for spatial connectome regression ⋮ Numerical solution of singular Sylvester equations ⋮ On the convergence of Krylov methods with low-rank truncations ⋮ Generalized reflexive and anti-reflexive solutions of the coupled Sylvester matrix equations via CD algorithm ⋮ Greedy low-rank approximation in Tucker format of solutions of tensor linear systems ⋮ Residual-based iterations for the generalized Lyapunov equation ⋮ Optimality properties of Galerkin and Petrov-Galerkin methods for linear matrix equations ⋮ Numerical solution to generalized Lyapunov/Stein and rational Riccati equations in stochastic control ⋮ Backward error and condition number of a generalized Sylvester equation, with application to the stochastic Galerkin method ⋮ Low-Dimensional Approximations of High-Dimensional Asset Price Models

Uses Software

• Matlab
• CSparse

Cites Work

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• Direct Methods for Sparse Linear Systems
• Direct methods and ADI‐preconditioned Krylov subspace methods for generalized Lyapunov equations
• Preconditioned Krylov Subspace Methods for Lyapunov Matrix Equations
• Solution of the Sylvester matrix equation AXB ^T + CXD ^T = E
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