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On the numerical solution of large-scale sparse discrete-time Riccati equationsBenner, Peter, Faßbender, Heike 04 March 2010 (has links) (PDF)
The numerical solution of Stein (aka discrete Lyapunov) equations is the primary step in Newton's method for the solution of discrete-time algebraic Riccati equations (DARE). Here we present a low-rank Smith method as well as a low-rank alternating-direction-implicit-iteration to compute low-rank approximations to solutions of Stein equations arising in this context. Numerical results are given to verify the efficiency and accuracy of the proposed algorithms.
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On the numerical solution of large-scale sparse discrete-time Riccati equationsBenner, Peter, Faßbender, Heike 04 March 2010 (has links)
The numerical solution of Stein (aka discrete Lyapunov) equations is the primary step in Newton's method for the solution of discrete-time algebraic Riccati equations (DARE). Here we present a low-rank Smith method as well as a low-rank alternating-direction-implicit-iteration to compute low-rank approximations to solutions of Stein equations arising in this context. Numerical results are given to verify the efficiency and accuracy of the proposed algorithms.
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