Ronny Ramlau, Lothar Reichel (Hg.)


ETNA - Electronic Transactions on Numerical Analysis






ISBN 978-3-7001-8258-0
Online Edition

  Research Article
Open access


Electronic Transactions on Numerical Analysis (ETNA) is an electronic journal for the publication of significant new developments in numerical analysis and scientific computing. Papers of the highest quality that deal with the analysis of algorithms for the solution of continuous models and numerical linear algebra are appropriate for ETNA, as are papers of similar quality that discuss implementation and performance of such algorithms. New algorithms for current or new computer architectures are appropriate provided that they are numerically sound. However, the focus of the publication should be on the algorithm rather than on the architecture. The journal is published by the Kent State University Library in conjunction with the Institute of Computational Mathematics at Kent State University, and in cooperation with the Johann Radon Institute for Computational and Applied Mathematics of the Austrian Academy of Sciences (RICAM). Reviews of all ETNA papers appear in Mathematical Reviews and Zentralblatt für Mathematik. Reference information for ETNA papers also appears in the expanded Science Citation Index. ETNA is registered with the Library of Congress and has ISSN 1068-9613.

Verlag der Österreichischen Akademie der Wissenschaften
Austrian Academy of Sciences Press
A-1011 Wien, Dr. Ignaz Seipel-Platz 2
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https://verlag.oeaw.ac.at, e-mail: verlag@oeaw.ac.at

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ETNA - Electronic Transactions on Numerical Analysis



ISBN 978-3-7001-8258-0
Online Edition



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Verlag der Österreichischen Akademie der Wissenschaften
Austrian Academy of Sciences Press
A-1011 Wien, Dr. Ignaz Seipel-Platz 2,
Tel. +43-1-515 81/DW 3420, Fax +43-1-515 81/DW 3400
https://verlag.oeaw.ac.at, e-mail: bestellung.verlag@oeaw.ac.at
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doi:10.1553/etna_vol62s95



doi:10.1553/etna_vol62s95



Thema: natural
Ronny Ramlau, Lothar Reichel (Hg.)


ETNA - Electronic Transactions on Numerical Analysis






ISBN 978-3-7001-8258-0
Online Edition

  Research Article
Open access


Jens Saak, Steffen W. R. Werner
S.  95 - 118
doi:10.1553/etna_vol62s95

Open access

Verlag der Österreichischen Akademie der Wissenschaften


doi:10.1553/etna_vol62s95
Abstract:
Continuous-time algebraic Riccati equations can be found in many disciplines in different forms. In the case of small-scale dense coefficient matrices, stabilizing solutions can be computed to all possible formulations of the Riccati equation. This is not the case when it comes to large-scale sparse coefficient matrices. In this paper, we provide a reformulation of the Newton–Kleinman iteration scheme for continuous-time algebraic Riccati equations using indefinite symmetric low-rank factorizations. This allows the application of the method to the case of general large-scale sparse coefficient matrices. We provide convergence results for several prominent realizations of the equation and show in numerical examples the effectiveness of the approach.

Keywords:  Riccati equation, Newton's method, large-scale sparse matrices, low-rank factorization, indefinite terms
  2024/09/16 12:57:20
Document Date:  2024/09/16
Object Identifier:  0xc1aa5572 0x003f5f38
.

Electronic Transactions on Numerical Analysis (ETNA) is an electronic journal for the publication of significant new developments in numerical analysis and scientific computing. Papers of the highest quality that deal with the analysis of algorithms for the solution of continuous models and numerical linear algebra are appropriate for ETNA, as are papers of similar quality that discuss implementation and performance of such algorithms. New algorithms for current or new computer architectures are appropriate provided that they are numerically sound. However, the focus of the publication should be on the algorithm rather than on the architecture. The journal is published by the Kent State University Library in conjunction with the Institute of Computational Mathematics at Kent State University, and in cooperation with the Johann Radon Institute for Computational and Applied Mathematics of the Austrian Academy of Sciences (RICAM). Reviews of all ETNA papers appear in Mathematical Reviews and Zentralblatt für Mathematik. Reference information for ETNA papers also appears in the expanded Science Citation Index. ETNA is registered with the Library of Congress and has ISSN 1068-9613.



Verlag der Österreichischen Akademie der Wissenschaften
Austrian Academy of Sciences Press
A-1011 Wien, Dr. Ignaz Seipel-Platz 2
Tel. +43-1-515 81/DW 3420, Fax +43-1-515 81/DW 3400
https://verlag.oeaw.ac.at, e-mail: verlag@oeaw.ac.at