Inexact methods for the low rank solution to large scale Lyapunov equations
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Publication:2216489
DOI10.1007/S10543-020-00813-4zbMATH Open1455.65050arXiv1809.06903OpenAlexW3036779051MaRDI QIDQ2216489FDOQ2216489
Authors: Patrick Kürschner, Melina A. Freitag 
Publication date: 16 December 2020
Published in: BIT (Search for Journal in Brave)
Abstract: The rational Krylov subspace method (RKSM) and the low-rank alternating directions implicit (LR-ADI) iteration are established numerical tools for computing low-rank solution factors of large-scale Lyapunov equations. In order to generate the basis vectors for the RKSM, or extend the low-rank factors within the LR-ADI method the repeated solution to a shifted linear system is necessary. For very large systems this solve is usually implemented using iterative methods, leading to inexact solves within this inner iteration. We derive theory for a relaxation strategy within these inexact solves, both for the RKSM and the LR-ADI method. Practical choices for relaxing the solution tolerance within the inner linear system are then provided. The theory is supported by several numerical examples.
Full work available at URL: https://arxiv.org/abs/1809.06903
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Lyapunov equationlow-rank approximationsalternating direction implicit methodrational Krylov subspaces method
Matrix equations and identities (15A24) Numerical methods for matrix equations (65F45) Numerical methods for low-rank matrix approximation; matrix compression (65F55)
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Cited In (20)
- Inexact Arnoldi residual estimates and decay properties for functions of non-Hermitian matrices
- High order approximations of the operator Lyapunov equation have low rank
- Inexact rational Krylov Subspace methods for approximating the action of functions of matrices
- Preconditioned Chebyshev BiCG method for parameterized linear systems
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