Efficient handling of complex shift parameters in the low-rank Cholesky factor ADI method

DOI10.1007/s11075-012-9569-7zbMath1267.65047OpenAlexW2076656421WikidataQ115214689 ScholiaQ115214689MaRDI QIDQ1935389

Peter Benner, Patrick Kürschner, Jens Saak

Publication date: 15 February 2013

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-012-9569-7

zbMATH Keywords

algorithmnumerical resultsLyapunov equationalgebraic Riccati equationCholesky factorizationsparse matricesmatrix equationsalgorithmic enhancementalternating directions (ADI) implicit method

Mathematics Subject Classification ID

Related Items (29)

Closed-form solution of non-symmetric algebraic Riccati matrix equation ⋮ ADI iteration for Lyapunov equations: A tangential approach and adaptive shift selection ⋮ Computational Methods for Linear Matrix Equations ⋮ Model Order Reduction for Differential-Algebraic Equations: A Survey ⋮ Computing real low-rank solutions of Sylvester equations by the factored ADI method ⋮ An improved numerical method for balanced truncation for symmetric second-order systems ⋮ A new subspace iteration method for the algebraic Riccati equation ⋮ On an integrated Krylov-ADI solver for large-scale Lyapunov equations ⋮ Model reduction of controlled Fokker-Planck and Liouville-von Neumann equations ⋮ A Numerical Comparison of Different Solvers for Large-Scale, Continuous-Time Algebraic Riccati Equations and LQR Problems ⋮ On a family of low-rank algorithms for large-scale algebraic Riccati equations ⋮ Data-Driven and Low-Rank Implementations of Balanced Singular Perturbation Approximation ⋮ Inexact methods for the low rank solution to large scale Lyapunov equations ⋮ Numerical solution of the infinite-dimensional LQR problem and the associated Riccati differential equations ⋮ RADI: a low-rank ADI-type algorithm for large scale algebraic Riccati equations ⋮ Efficient techniques for solving the periodic projected Lyapunov equations and model reduction of periodic systems ⋮ The ADI iteration for Lyapunov equations implicitly performsH2pseudo-optimal model order reduction ⋮ A quadrature framework for solving Lyapunov and Sylvester equations ⋮ Balancing based model reduction for structured index-2 unstable descriptor systems with application to flow control ⋮ An inexact low-rank Newton-ADI method for large-scale algebraic Riccati equations ⋮ A Survey of Projection-Based Model Reduction Methods for Parametric Dynamical Systems ⋮ Structure preserving model order reduction of a class of second-order descriptor systems via balanced truncation ⋮ Approximate residual-minimizing shift parameters for the low-rank ADI iteration ⋮ Balanced truncation model reduction for linear time-varying systems ⋮ Structure preserving model order reduction of large sparse second-order index-1 systems and application to a mechatronics model ⋮ Riccati-based Boundary Feedback Stabilization of Incompressible Navier--Stokes Flows ⋮ Numerical solution of large and sparse continuous time algebraic matrix Riccati and Lyapunov equations: a state of the art survey ⋮ On the benefits of the \(L D L^T\) factorization for large-scale differential matrix equation solvers ⋮ Balanced truncation for reduced-order modeling of piezoelectric tonpilz transducer on the limited frequency interval

Uses Software

• RRQR
• toms/782
• LYAPACK
• CSparse
• Algorithm 432

Cites Work

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• On the numerical solution of large-scale sparse discrete-time Riccati equations
• On the ADI method for Sylvester equations
• Iterative solution of the Lyapunov matrix equation
• Solving stable generalized Lyapunov equations with the matrix sign function
• Direct methods for matrix Sylvester and Lyapunov equations
• Bounds on the trace of a solution to the Lyapunov equation with a general stable matrix
• The Quadratic Eigenvalue Problem
• Efficient balancing-based MOR for large-scale second-order systems
• The ADI Model Problem
• A New Iterative Method for Solving Large-Scale Lyapunov Matrix Equations
• Numerical solution of large‐scale Lyapunov equations, Riccati equations, and linear‐quadratic optimal control problems
• Linear model reduction and solution of the algebraic Riccati equation by use of the sign function†
• Principal component analysis in linear systems: Controllability, observability, and model reduction
• Numerical Solution of the Stable, Non-negative Definite Lyapunov Equation Lyapunov Equation
• A Numerical Algorithm for Optimal Feedback Gains in High Dimensional Linear Quadratic Regulator Problems
• Algorithm 782
• A Cyclic Low-Rank Smith Method for Large Sparse Lyapunov Equations
• Low Rank Solution of Lyapunov Equations
• Iterative Krylov Methods for Large Linear Systems
• An Efficient Method for Estimating the Optimal Dampers' Viscosity for Linear Vibrating Systems Using Lyapunov Equation
• Rosenbrock Methods for Solving Riccati Differential Equations
• Algorithm 432 [C2: Solution of the matrix equation AX + XB = C [F4]]
• Existence of a low rank or ℋ︁‐matrix approximant to the solution of a Sylvester equation

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