A new subspace iteration method for the algebraic Riccati equation
نویسندگان
چکیده
منابع مشابه
A new subspace iteration method for the algebraic Riccati equation
We consider the numerical solution of the continuous algebraic Riccati equation AX +XA−XFX +G = 0, with F = F , G = G of low rank and A large and sparse. We develop an algorithm for the low rank approximation of X by means of an invariant subspace iteration on a function of the associated Hamiltonian matrix. We show that the sought after approximation can be obtained by a low rank update, in th...
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ژورنال
عنوان ژورنال: Numerical Linear Algebra with Applications
سال: 2014
ISSN: 1070-5325
DOI: 10.1002/nla.1936