A low-rank Krylov squared Smith method for large-scale discrete-time Lyapunov equations (Q413528)
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scientific article; zbMATH DE number 6031159
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| English | A low-rank Krylov squared Smith method for large-scale discrete-time Lyapunov equations |
scientific article; zbMATH DE number 6031159 |
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A low-rank Krylov squared Smith method for large-scale discrete-time Lyapunov equations (English)
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7 May 2012
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The paper deals with the large-scale discrete-time Lyapunov matrix equation \(X-AXA^T=BB^T\) with low-rank symmetric right-hand side. The author uses the squared Smith method and the block Arnoldi algorithm for the low-rank approximation of the solution matrix. A restarting mechanism is employed to cope with the increase of memory storage of the Krylov basis. The numerical behavior of the proposed method is illustrated on several experiments.
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squared Smith method
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low-rank approximation
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block-Arnoldi method
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full orthogonalization method
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numerical examples
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alternating direction implicit (ADI) iteration
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large-scale discrete-time Lyapunov matrix equation
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algorithm
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