A low-rank Krylov squared Smith method for large-scale discrete-time Lyapunov equations

被引：25
|
作者：
Sadkane, Miloud [1 ]
机构：
[1] Univ Brest, Math Lab, CNRS UMR 6205, F-29238 Brest 3, France
来源：
LINEAR ALGEBRA AND ITS APPLICATIONS | 2012年 / 436卷 / 08期
关键词：
Discrete-time Lyapunov equation; Squared Smith method; Low-rank approximation; Block-Arnoldi method; ADI iteration; FOM; ITERATIVE METHODS;
D O I：
10.1016/j.laa.2011.07.021
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
The squared Smith method is adapted to solve large-scale discrete-time Lyapunov matrix equations. The adaptation uses a Krylov subspace to generate the squared Smith iteration in a low-rank form. A restarting mechanism is employed to cope with the increase of memory storage of the Krylov basis. Theoretical aspects of the algorithm are presented. Several numerical illustrations are reported. (C) 2011 Elsevier Inc. All rights reserved.
引用
收藏
页码：2807 / 2827
页数：21
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