Block Arnoldi-based methods for large scale discrete-time algebraic Riccati equations

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:236

Article

Bouhamidi, A.¹  Heyouni, M.²  Jbilou, K.¹ 

[1] Univ Lille Nord de France, ULCO, LMPA, F-62228 Calais, France

[2] Univ Mohammed Premier, ENSAH, Ecole Natl Sci Appl Al Hoceima, Oujda, Morocco

关键词: Block Arnoldi;    Block Krylov;    Discrete Riccati equations;    Extended;    Low rank;    Newton;   

DOI  :  10.1016/j.cam.2011.09.017

来源: Elsevier

【 摘 要 】

In the present paper, we present block Arnoldi-based methods for the computation of low rank approximate solutions of large discrete-time algebraic Riccati equations (DARE). The proposed methods are projection methods onto block or extended block Krylov subspaces. We give new upper bounds for the norm of the error obtained by applying these block Arnoldi-based processes. We also introduce the Newton method combined with the block Arnoldi algorithm and present some numerical experiments with comparisons between these methods. (C) 2011 Elsevier B.V. All rights reserved.

【 授权许可】

Free