A new method for computing the stable invariant subspace of a real Hamiltonian matrix
type: Item
instance of: scholarly article
title: A new method for computing the stable invariant subspace of a real Hamiltonian matrix
zbMATH Open document ID: 1005.65034
DOI: 10.1016/S0377-0427(97)00146-5
author: P. Benner
author: Volker Mehrmann
author: Hongguo Xu
published in: Journal of Computational and Applied Mathematics
publication date: 1998-07-23T00:00:00Z
review text: The problem of the numerical computation of the Lagrangian invariant subspaces of a real Hamiltonian matrix with a strongly backward stable algorithm is thoroughly examined. The solution of the Hamiltonian eigenvalue problem is important because of its close relation with the solution of the continuous-time algebraic Riccati equation. In order to deal with the problem, an extended matrix is introduced for which the authors determine how its eigenvalues and invariant subspaces are related with those of the original matrix. As a byproduct, these results, under the assumption that the matrix has no purely imaginary eigenvalues, give a direct relationship between its sign function and the square root of its square. Then, starting with a Hamiltonian matrix with no eigenvalues on the imaginary axis, a Hamiltonian Schur form is constructed for a convenient permutation of its Hamiltonian extended matrix. An important tool to accomplish this step is the symplectic URV decomposition of a Hamiltonian matrix, which is developed by the authors in another paper. Finally it is abundantly shown that the algorithm constructed on the basis of these results can compete advantageously with other algorithms, such as those based on the QR algorithm, as far as computational cost, i.e. \(O(n^3)\), is concerned. As for the error analysis, the authors prove that their algorithm is strongly backward stable for the extended matrix, which shows that the results so far obtained, although not complete, give a satisfactory solution to the original problem.
Mathematics Subject Classification ID: 65F15
Mathematics Subject Classification ID: 15B57
Mathematics Subject Classification ID: 15A24
zbMATH DE Number: 1115923
zbMATH Keywords: eigenvalue problem
zbMATH Keywords: Hamiltonian matrix
zbMATH Keywords: algebraic Riccati equation
zbMATH Keywords: Lagrangian invariant subspace
zbMATH Keywords: backward stable algorithm
zbMATH Keywords: Hamiltonian Schur form
zbMATH Keywords: symplectic URV decomposition
zbMATH Keywords: QR algorithm
zbMATH Keywords: error analysis
reviewed by: Juan Pedro Milaszewicz
describes a project that uses: LAPACK
describes a project that uses: Matlab
describes a project that uses: Robust Control Toolbox
describes a project that uses: RICPAC
describes a project that uses: LMI toolbox
describes a project that uses: Control System Toolbox
MaRDI profile type: MaRDI publication profile
cites work: A multishift algorithm for the numerical solution of algebraic Riccati equations
cites work: On Hamiltonian and symplectic Hessenberg forms
cites work: Q4841244
cites work: Q4389721
cites work: The weak and strong stability of algorithms in numerical linear algebra
cites work: Matrix factorizations for symplectic QR-like methods
cites work: A Hamiltonian $QR$ Algorithm
cites work: Rang revealing QR factorizations
cites work: Q3359644
cites work: The QR algorithm for unitary Hessenberg matrices
cites work: A divide and conquer method for unitary and orthogonal eigenproblems
cites work: The Sensitivity of the Stable Lyapunov Equation
cites work: The matrix sign decomposition and its relation to the polar decomposition
cites work: Matrix Analysis
cites work: Q4850020
cites work: Correction to "Computation of supremal (A,B)-Invariant and controllability subspaces"
cites work: The Riccati equation
cites work: The autonomous linear quadratic control problem. Theory and numerical solution
cites work: A Schur decomposition for Hamiltonian matrices
cites work: A new look at the Lanczos algorithm for solving symmetric systems of linear equations
cites work: Linear model reduction and solution of the algebraic Riccati equation by use of the sign function†
cites work: Q3998482
cites work: A Generalized Eigenvalue Approach for Solving Riccati Equations
cites work: A symplectic method for approximating all the eigenvalues of a Hamiltonian matrix
cites work: Q5674306
cites work: Properties of a quadratic matrix equation and the solution of the continuous-time algebraic Riccati equation
Recommended article: Computation of Stable Invariant Subspaces of Hamiltonian Matrices
Recommended article: On Computing Stable Lagrangian Subspaces of Hamiltonian Matrices and Symplectic Pencils
Recommended article: A numerical method for computing the Hamiltonian Schur form
description: scientific article; zbMATH DE number 1115923