Solving large-scale continuous-time algebraic Riccati equations by doubling
نویسندگان
چکیده
منابع مشابه
Solving large-scale continuous-time algebraic Riccati equations by doubling
We consider the solution of large-scale algebraic Riccati equations with numerically lowranked solutions. For the discrete-time case, the structure-preserving doubling algorithm has been adapted, with the iterates for A not explicitly computed but in the recursive form Ak = A 2 k−1 −D (1) k S −1 k [D (2) k ] >, with D (1) k and D (2) k being low-ranked and S −1 k being small in dimension. For t...
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We consider the solution of large-scale discrete-time algebraic Riccati equations with numerically low-ranked solutions. The structure-preserving doubling algorithm will be adapted, with the iterates for A not explicitly computed but in the recursive form Ak = A 2 k−1 − D (1) k S −1 k [D (2) k ] >, where D (1) k and D (2) k are low-ranked with S −1 k being small in dimension. With n being the d...
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We consider the solution of the large-scale nonsymmetric algebraic Riccati equation XCX − XD − AX + B = 0, with M ≡ [D,−C;−B,A] ∈ R(n1+n2)×(n1+n2) being a nonsingular M-matrix, and A,D being sparse-like (with the products A−1v, A−>v, D−1v and D−>v computable in O(n1) or O(n2) complexity, for some vector v) and B,C are low-ranked. The structure-preserving doubling algorithm by Guo, Lin and Xu (2...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2013
ISSN: 0377-0427
DOI: 10.1016/j.cam.2012.06.006