An Arnoldi based algorithm for large algebraic Riccati equations (Q2488730)
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| Language | Label | Description | Also known as |
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| English | An Arnoldi based algorithm for large algebraic Riccati equations |
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An Arnoldi based algorithm for large algebraic Riccati equations (English)
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11 May 2006
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The author presents an algorithm, based on the global Arnoldi process, for the numerical computation of solutions for large continuous-time algebraic Riccati equations. The method uses a projection procedure onto a matrix Krylov subspace and also provides upper bounds for the norm of the error and residual in each iteration.
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algebraic Riccati equations
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Arnoldi method
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Krylov subspaces method
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low rank approximation
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error bounds
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