We present new Fortran 77 subroutines which implement the Schur method and the
matrix sign function method for the solution of the continuoustime matrix algebraic
Riccati equation on the basis of LAPACK subroutines. In order to avoid some of
the wellknown difficulties with these methods due to a loss of accuracy, we combine
the implementations with block scalings as well as condition estimates and forward
error estimates. Results of numerical experiments comparing the performance of both
methods for more than one hundred well and illconditioned Riccati equations of order
up to 150 are given. It is demonstrated that there exist several classes of examples for
which the matrix sign function approach performs more reliably and more accurately
than the Schur method. In all cases the forward error estimates allow to obtain a reliable
bound on the accuracy of the computed solution.
| Identifer | oai:union.ndltd.org:DRESDEN/oai:qucosa.de:swb:ch1-200501109 |
| Date | 12 September 2005 |
| Creators | Petkov, P. Hr., Konstantinov, M. M., Mehrmann, V. |
| Contributors | TU Chemnitz, SFB 393 |
| Publisher | Universitätsbibliothek Chemnitz |
| Source Sets | Hochschulschriftenserver (HSSS) der SLUB Dresden |
| Language | English |
| Detected Language | English |
| Type | doc-type:preprint |
| Format | application/pdf, application/postscript, text/plain, application/zip |
| Source | Preprintreihe des Chemnitzer SFB 393, 98-16 |
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