An extended block Golub-Kahan algorithm for large algebraic and differential matrix Riccati equations

DOI10.1016/J.CAMWA.2019.11.010MaRDI QIDQ2179063zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 12 May 2020

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

Full work available at URL https://doi.org/10.1016/j.camwa.2019.11.010

zbMATH Keywords

matrix equationsGolub-Kahan bidiagonalizationlarge-scale equationsextended block Krylov subspace

Mathematics Subject Classification ID

Matrix equations and identities (15A24) Numerical methods for matrix equations (65F45)

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• On a Matrix Riccati Equation of Stochastic Control
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• The Riccati equation
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Cited in

(8)

• Low-rank approximate solutions to large-scale differential matrix Riccati equations
• An extended block Arnoldi algorithm for large-scale solutions of the continuous-time algebraic Riccati equation
• Galerkin trial spaces and Davison-Maki methods for the numerical solution of differential Riccati equations
• Block Krylov subspace methods for large algebraic Riccati equations
• Refinement of multiparameters overrelaxation (RMPOR) method
• Latest inversion-free iterative scheme for solving a pair of nonlinear matrix equations
• Order reduction methods for solving large-scale differential matrix Riccati equations
• Iterative algorithms based on weight splitting to solve Riccati matrix equation \(XDX - XC - BX + A = 0\)

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Uses Software

• RICPAC

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