The shift-inverted J-Lanczos algorithm for the numerical solutions of large sparse algebraic Riccati equations

DOI10.1016/S0898-1221(97)00074-6MaRDI QIDQ1368482zbMATH OpenOpenAlexFDO

Authors Wen-Wei Lin, Chern-Shuh Wang, William R. Ferng

Publication date 2 June 1998

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0898-1221(97)00074-6

zbMATH Keywords

convergenceeigenvalueslarge and sparse Hamiltonian matrixlarge sparse algebraic Riccati equationsnumerical exampleshift invert Lanczos algorithmsymplectic basis

Mathematics Subject Classification ID

Matrix equations and identities (15A24) Numerical computation of eigenvalues and eigenvectors of matrices (65F15)

Review text

A shift invert Lanczos algorithm applicable to compute the eigenvalues of a large and sparse Hamiltonian matrix is described. It computes a symplectic basis two columns at a time, in which the matrix is represented by a 2 by 2 block matrix with 3 diagonal and one tridiagonal block. It is shown that convergence occurs, and symplecticity gets lost, when a quantity computed from the eigenvectors of the small block matrix and its last nondiagonal elements gets small, in a way very similar to the symmetric case. A numerical example is described, and different shift and invert transformations are discussed.

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Cites work

• A Chart of Numerical Methods for Structured Eigenvalue Problems
• A Convergence Analysis for Nonsymmetric Lanczos Algorithms
• A Schur method for solving algebraic Riccati equations
• A symplectic method for approximating all the eigenvalues of a Hamiltonian matrix
• A symplectic QR like algorithm for the solution of the real algebraic Riccati equation
• Computation of Stable Invariant Subspaces of Hamiltonian Matrices
• Eigenvalues of perturbed Hermitian matrices
• scientific article; zbMATH DE number 975557 (Why is no real title available?)
• On Hamiltonian and symplectic Hessenberg forms
• On some algebraic problems in connection with general eigenvalue algorithms
• Residual Bounds on Approximate Eigensystems of Nonnormal Matrices

Cited in

(14)

• Numerical algorithms for undamped gyroscopic systems
• Errata to ``The shift-inverted \(J\)-Lanczos algorithm for the numerical solutions of large sparse algebraic Riccati equations
• Electromagnetic field behavior of 3D Maxwell's equations for chiral media
• A block \(J\)-Lanczos method for Hamiltonian matrices
• Balancing sparse Hamiltonian eigenproblems
• Approximation of the matrix exponential operator by a structure-preserving block Arnoldi-type method
• On the conditioning of factors in the SR decomposition
• Numerical solution of large-scale Lyapunov equations, Riccati equations, and linear-quadratic optimal control problems.
• Structured Eigenvalue Problems
• A structure preserving approximation method for Hamiltonian exponential matrices
• A Hamiltonian Krylov-Schur-type method based on the symplectic Lanczos process
• An invariant subspace method for large-scale algebraic Riccati equation
• The bi-Lebedev scheme for the Maxwell eigenvalue problem with 3D bi-anisotropic complex media
• On the solution of large-scale algebraic Riccati equations by using low-dimensional invariant subspaces

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