A Structure-Preserving Method for Generalized Algebraic RiccatiEquations Based on Pencil Arithmetic
Please always quote using this URN:urn:nbn:de:0296-matheon-675
- This paper describes a numerical method for extracting the stable right deflating subspace of a matrix pencil Z Y using a spectral projection method. It has several advantages compared to other spectral projection methods like the sign function method. In particular it avoids the rounding error induced loss of accuracy associated with matrix inversions. The new algorithm is particularly well adapted to solving continuous-time algebraic Riccati equations. In numerical examples, it solves Riccati equations to high accuracy.
Author: | Ralph Byers, Peter Benner |
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URN: | urn:nbn:de:0296-matheon-675 |
Referee: | Roswitha März |
Document Type: | Preprint, Research Center Matheon |
Language: | English |
Date of first Publication: | 2004/04/02 |
Release Date: | 2004/01/28 |
Preprint Number: | 65 |