Model reduction in large scale MIMO dynamical systems via the block Lanczos method (Q1001134)

A numerical method for the solution of the coupled Lyapunov matrix equations that appear in control problems is presented. The method proposed is a Krylov subspace method, based on the nonsymmetrick block Lanczos process. The process is used for the production of low rank approximate solutions to the coupled Lyapunov matrix equations. An upper bound for the residual norms and perturbation results are given. A reduced order model of the original linear time invariant equations is constructed and theoretical results and numerical examples are presented so as to show the effectiveness of the proposed methodology.