On the numerical solution of large-scale sparse discrete-time Riccati equations

Description

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.

Links & Downloads

1. urn:nbn:de:bsz:ch1-201000182
2. 1864-0087
3. https://monarch.qucosa.de/id/qucosa%3A19270
4. https://monarch.qucosa.de/api/qucosa%3A19270/attachment/ATT-0/
5. https://monarch.qucosa.de/api/qucosa%3A19270/attachment/ATT-1/

Tags

info:eu-repo/classification/ddc/510

ddc:510

Newton-Verfahren

Riccati-Differentialgleichung

ADI iteration

Smith iteration

discrete-time control

low rank factor

sparse matrices

Additional Fields

Identifer	oai:union.ndltd.org:DRESDEN/oai:qucosa:de:qucosa:19270
Date	04 March 2010
Creators	Benner, Peter, Faßbender, Heike
Publisher	Technische Universität Chemnitz
Source Sets	Hochschulschriftenserver (HSSS) der SLUB Dresden
Language	English
Detected Language	English
Type	doc-type:preprint, info:eu-repo/semantics/preprint, doc-type:Text
Rights	info:eu-repo/semantics/openAccess