Residual-based iterations for the generalized Lyapunov equation

DOI10.1007/S10543-019-00760-9arXiv1807.10715WikidataQ127681025 ScholiaQ127681025MaRDI QIDQ6304752FDOQ6304752

Publication date: 27 July 2018

Abstract: This paper treats iterative solution methods to the generalized Lyapunov equation. Specifically it expands the existing theoretical justification for the alternating linear scheme (ALS) from the stable Lyapunov equation to the stable generalized Lyapunov equation. Moreover, connections between the energy-norm minimization in ALS and the theory to H2-optimality of an associated bilinear control system are established. It is also shown that a certain ALS-based iteration can be seen as iteratively constructing rank-1 model reduction subspaces for bilinear control systems associated with the residual. Similar to the ALS-based iteration, the fixed-point iteration can also be seen as a residual-based method minimizing an upper bound of the associated energy norm. Lastly a residual-based generalized rational-Krylov-type subspace is proposed for the generalized Lyapunov equation.

Mathematics Subject Classification ID

Iterative numerical methods for linear systems (65F10) Numerical computation of matrix norms, conditioning, scaling (65F35) Applications of variational problems to control theory (58E25) Numerical methods for matrix equations (65F45)

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