A new subspace iteration method for the algebraic Riccati equation.

DOI10.1002/NLA.1936MaRDI QIDQ2948089zbMATH OpenOpenAlexFDO

Authors Yiding Lin, Valeria Simoncini

Publication date 29 September 2015

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

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

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)

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.

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Cited in

(32)

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• On the solution of the nonsymmetric T-Riccati equation
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Uses Software

• LYAPACK
• Matlab

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