Decoupled Structure-Preserving Doubling Algorithm with Truncation for Large-Scale Algebraic Riccati Equations

Autor:	Guo, Zhen-Chen, Chu, Eric King-Wah, Liang, Xin, Lin, Wen-Wei
Rok vydání:	2020
Předmět:	Mathematics - Numerical Analysis 15A24 65F30 65H10
Druh dokumentu:	Working Paper
Popis:	In \emph{Guo et al, arXiv:2005.08288}, we propose a decoupled form of the structure-preserving doubling algorithm (dSDA). The method decouples the original two to four coupled recursions, enabling it to solve large-scale algebraic Riccati equations and other related problems. In this paper, we consider the numerical computations of the novel dSDA for solving large-scale continuous-time algebraic Riccati equations with low-rank structures (thus possessing numerically low-rank solutions). With the help of a new truncation strategy, the rank of the approximate solution is controlled. Consequently, large-scale problems can be treated efficiently. Illustrative numerical examples are presented to demonstrate and confirm our claims. Comment: 32 pages, 4 figures, 2 tables
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2011.01494 Zobrazit plný text záznamu View this record from Arxiv