NUMERICAL SOLUTION OF PROJECTED ALGEBRAIC RICCATI EQUATIONS

被引：12

作者：

Benner, Peter ^{[1
]}

Stykel, Tatjana ^{[2
]}

机构：

[1] Max Planck Inst Dynam Complex Tech Syst, D-39106 Magdeburg, Germany

[2] Univ Augsburg, Inst Math, D-86159 Augsburg, Germany

来源：

SIAM JOURNAL ON NUMERICAL ANALYSIS | 2014年 / 52卷 / 02期

关键词：

projected Riccati equation; projected Lyapunov equation; Newton's method; alternating direction implicit (ADI) method; KRYLOV SUBSPACE METHODS; BALANCED TRUNCATION; LYAPUNOV EQUATIONS; MODEL-REDUCTION; POSITIVE-REAL; ALGORITHM;

D O I：

10.1137/130923993

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We consider the numerical solution of projected algebraic Riccati equations using Newton's method. Such equations arise, for instance, in model reduction of descriptor systems based on positive real and bounded real balanced truncation. We also discuss the computation of low-rank Cholesky factors of the solutions of projected Riccati equations. Numerical examples are given that demonstrate the properties of the proposed algorithms.

引用

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页码：581 / 600

页数：20

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