Solving large-scale continuous-time algebraic Riccati equations by doubling

DOI10.1016/J.CAM.2012.06.006MaRDI QIDQ455865zbMATH OpenOpenAlexFDO

Authors Tiexiang Li, Eric King-wah Chu, Wen-Wei Lin, Peter Chang-Yi Weng

Publication date 22 October 2012

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2012.06.006

zbMATH Keywords

numerical resultsCayley transformKrylov subspacelarge-scale problemdoubling algorithmcontinuous-time algebraic Riccati equation

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Computational methods for sparse matrices (65F50) Linear systems in control theory (93C05) Matrix equations and identities (15A24)

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Cited in

(20)

• Large-scale discrete-time algebraic Riccati equations -- doubling algorithm and error analysis
• Numerical solution to generalized Lyapunov/Stein and rational Riccati equations in stochastic control
• Solving large-scale nonsymmetric algebraic Riccati equations from two-dimensional transport models by doubling
• Convergence rates of a class of predictor-corrector iterations for the nonsymmetric algebraic Riccati equation arising in transport theory
• A numerical comparison of different solvers for large-scale, continuous-time algebraic Riccati equations and LQR problems
• Solving large-scale nonsymmetric algebraic Riccati equations by doubling
• An extended block Arnoldi algorithm for large-scale solutions of the continuous-time algebraic Riccati equation
• Performance enhancement of doubling algorithms for a class of complex nonsymmetric algebraic Riccati equations
• Nonlinear least-squares approach for large-scale algebraic Riccati equations
• On the tripling algorithm for large-scale nonlinear matrix equations with low rank structure
• Numerical solution of large and sparse continuous time algebraic matrix Riccati and Lyapunov equations: a state of the art survey
• Inheritance properties of Krylov subspace methods for continuous-time algebraic Riccati equations
• A new subspace iteration method for the algebraic Riccati equation.
• Krylov subspace methods for discrete-time algebraic Riccati equations
• A POD projection method for large-scale algebraic Riccati equations
• The intrinsic Toeplitz structure and its applications in algebraic Riccati equations
• Homotopy for Rational Riccati Equations Arising in Stochastic Optimal Control
• Large-scale algebraic Riccati equations with high-rank constant terms
• Numerical solution of singular Sylvester equations
• Convergence of the doubling algorithm for the discrete-time algebraic Riccati equation

Describes a project that uses

Uses Software

• Matlab
• MESS

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