Direct methods and ADI‐preconditioned Krylov subspace methods for generalized Lyapunov equations

DOI10.1002/nla.603zbMath1212.65175OpenAlexW2090696580MaRDI QIDQ3588943

Tobias Damm

Publication date: 10 September 2010

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

Full work available at URL: https://doi.org/10.1002/nla.603

zbMATH Keywords

direct methodKrylov subspace methodsSherman-Morrison-Woodbury formulalinear matrix equationsADI preconditioninggeneralized Lyapunov equationsGramians of bilinear systemsstochastic or bilinear control systems

Mathematics Subject Classification ID

Matrix equations and identities (15A24) Iterative numerical methods for linear systems (65F10) Direct numerical methods for linear systems and matrix inversion (65F05) Preconditioners for iterative methods (65F08)

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Uses Software

• Algorithm 705
• Algorithm 432

Cites Work

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• Positive operators and an inertia theorem
• Optimum Alternating-Direction-Implicit Iteration Parameters for a Model Problem
• Methods for the solution ofAXD−BXC=E and its application in the numerical solution of implicit ordinary differential equations
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• A Note on the Superlinear Convergence of GMRES
• A Cyclic Low-Rank Smith Method for Large Sparse Lyapunov Equations
• Low Rank Solution of Lyapunov Equations
• Efficient Computation of the Solutions to Modified Lyapunov Equations
• On the Occurrence of Superlinear Convergence of Exact and Inexact Krylov Subspace Methods
• Algorithm 432 [C2: Solution of the matrix equation AX + XB = C [F4]]
• On a Matrix Riccati Equation of Stochastic Control
• Matrix Iterative Analysis