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

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.

Identiferoai:union.ndltd.org:DRESDEN/oai:qucosa.de:bsz:ch1-201000182
Date04 March 2010
CreatorsBenner, Peter, Faßbender, Heike
ContributorsTU Chemnitz, Fakultät für Mathematik
PublisherUniversitätsbibliothek Chemnitz
Source SetsHochschulschriftenserver (HSSS) der SLUB Dresden
LanguageEnglish
Detected LanguageEnglish
Typedoc-type:preprint
Formatapplication/pdf, text/plain, application/zip
RightsDokument ist für Print on Demand freigegeben
Relationdcterms:isPartOf:Chemnitz Scientific Computing Preprints ; 09-11

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