RADI: a low-rank ADI-type algorithm for large scale algebraic Riccati equations (Q681696)
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scientific article; zbMATH DE number 6837520
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| English | RADI: a low-rank ADI-type algorithm for large scale algebraic Riccati equations |
scientific article; zbMATH DE number 6837520 |
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RADI: a low-rank ADI-type algorithm for large scale algebraic Riccati equations (English)
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13 February 2018
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The authors propose a new alternating direction implicit (ADI)-type iteration for Riccati equations. In this new algorithm, the low rank factors are built incrementally: in each step, each factor is expanded by several columns and/or rows, while keeping the elements from the previous steps intact. By setting the quadratic coefficient of the equation to zero, their method reduces to the low-rank formulation of the Lyapunov ADI method.
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low rank ADI-type algorithm
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algebraic Riccati equations
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LYapunov ADI method
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control theory
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alternating direction implicit-type iteration
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