- AutorIn
- Peter Benner
- Heike Faßbender
- Titel
- On the numerical solution of large-scale sparse discrete-time Riccati equations
- Zitierfähige Url:
- https://nbn-resolving.org/urn:nbn:de:bsz:ch1-201000182
- Schriftenreihe
- Chemnitz Scientific Computing Preprints
- Bandnummer
- 09-11
- ISSN
- 1864-0087
- Abstract (EN)
- 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.
- Andere Ausgabe
- Link: http://www.tu-chemnitz.de/mathematik/csc/preprints.php
- Freie Schlagwörter
- ADI iteration
- Smith iteration
- discrete-time control
- low rank factor
- sparse matrices
- Klassifikation (DDC)
- 510
- Normschlagwörter (GND)
- Newton-Verfahren
- Riccati-Differentialgleichung
- Publizierende Institution
- Technische Universität Chemnitz, Chemnitz
- URN Qucosa
- urn:nbn:de:bsz:ch1-201000182
- Veröffentlichungsdatum Qucosa
- 04.03.2010
- Dokumenttyp
- Preprint
- Sprache des Dokumentes
- Englisch