On the numerical solution of large-scale sparse discrete-time Riccati equations
نویسندگان
چکیده
منابع مشابه
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 lowrank approximations to solutions of Stein equations arising in this context. Numerical results are given ...
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ژورنال
عنوان ژورنال: Advances in Computational Mathematics
سال: 2011
ISSN: 1019-7168,1572-9044
DOI: 10.1007/s10444-011-9174-7