A new subspace iteration method for the algebraic Riccati equation.

DOI10.1002/NLA.1936zbMATH Open1363.65076arXiv1307.3843OpenAlexW2137362177MaRDI QIDQ2948089FDOQ2948089

Authors: Yiding Lin, Valeria Simoncini 

Publication date: 29 September 2015

Published in: Numerical Linear Algebra with Applications (Search for Journal in Brave)

Abstract: We consider the numerical solution of the continuous algebraic Riccati equation $A^{\ast }X+XA-XFX+G=0$, with $F=F^{\ast },G=G^{\ast }$ of low rank and $A$ large and sparse. We develop an algorithm for the low rank approximation of $X$ by means of an invariant subspace iteration on a function of the associated Hamiltonian matrix. We show that the sought after approximation can be obtained by a low rank update, in the style of the well known ADI iteration for the linear equation, from which the new method inherits many algebraic properties. Moreover, we establish new insightful matrix relations with emerging projection-type methods, which will help increase our understanding of this latter class of solution strategies.

Full work available at URL: https://arxiv.org/abs/1307.3843

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zbMATH Keywords

Riccati equationMatlabrational Krylov subspacealternating direction implicit iterationinvariant subspace iteration

Mathematics Subject Classification ID

Iterative numerical methods for linear systems (65F10) Matrix equations and identities (15A24)

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Cited In (32)

• On the Hermitian and skew-Hermitian splitting-like iteration approach for solving complex continuous-time algebraic Riccati matrix equation
• On the solution of the nonsymmetric T-Riccati equation
• Krylov subspace methods for discrete-time algebraic Riccati equations
• Analysis of the rational Krylov subspace projection method for large-scale algebraic Riccati equations
• Iterative algorithm for a generalized matrix equation with momentum acceleration approach and its convergence analysis
• Iterative and doubling algorithms for Riccati‐type matrix equations: A comparative introduction
• \(\mathcal{H}_2\)-gap model reduction for stabilizable and detectable systems
• Adaptive high-order splitting schemes for large-scale differential Riccati equations
• RADI: a low-rank ADI-type algorithm for large scale algebraic Riccati equations
• An inexact low-rank Newton-ADI method for large-scale algebraic Riccati equations
• A numerical comparison of different solvers for large-scale, continuous-time algebraic Riccati equations and LQR problems
• The intrinsic Toeplitz structure and its applications in algebraic Riccati equations
• Analysis of an iteration method for the algebraic Riccati equation
• Using \(LDL^\mathrm{T}\) factorizations in Newton's method for solving general large-scale algebraic Riccati equations
• 2 Balancing-related model reduction methods
• Closed-form solution of non-symmetric algebraic Riccati matrix equation
• An invariant subspace method for large-scale algebraic Riccati equation
• Nonlinear least-squares approach for large-scale algebraic Riccati equations
• The extended Hamiltonian algorithm for the solution of the algebraic Riccati equation
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• On an upper bound for the eigenvalues of the solution of the continuous algebraic Riccati equation
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• KRYLOV SUBSPACE METHODS OF HESSENBERG BASED FOR ALGEBRAIC RICCATI EQUATION
• A class of Petrov-Galerkin Krylov methods for algebraic Riccati equations
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• The ADI method for bounded real and positive real Lur'e equations
• Matrix equations, sparse solvers: \texttt{M-M.E.S.S.}-2.0.1 -- philosophy, features, and application for (parametric) model order reduction
• On the solution of large-scale algebraic Riccati equations by using low-dimensional invariant subspaces
• A low-rank solution method for Riccati equations with indefinite quadratic terms
• On a family of low-rank algorithms for large-scale algebraic Riccati equations

Uses Software

• Matlab
• LYAPACK

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