Using LDL^T factorizations in Newton's method for solving general large-scale algebraic Riccati equations
CoRR(2024)
摘要
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.
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