Krylov Subspace Type Methods for Solving Projected Generalized Continuous-Time Lyapunov Equations
نویسندگان
چکیده
In this paper we consider the numerical solution of projected generalized continuous-time Lyapunov equations with low-rank right-hand sides. The interest in this problem stems from stability analysis and control problems for descriptor systems including model reduction based on balanced truncation. Two projection methods are proposed for calculating low-rank approximate solutions. One is based on the usual Krylov subspace, while the other is based on the union of two different Krylov subspaces. The former is the Krylov subspace method and the latter is the extended Krylov subspace method. For these two methods, exact expressions for the norms of residuals are derived and results on finite termination are presented. Numerical experiments in this paper show the effectiveness of the proposed methods. Key–Words: Projected generalized Lyapunov equation, Projection method, Krylov subspace, Alternating direction implicit method, Matrix pencil, C-stable
منابع مشابه
Solving large systems arising from fractional models by preconditioned methods
This study develops and analyzes preconditioned Krylov subspace methods to solve linear systems arising from discretization of the time-independent space-fractional models. First, we apply shifted Grunwald formulas to obtain a stable finite difference approximation to fractional advection-diffusion equations. Then, we employee two preconditioned iterative methods, namely, the preconditioned gen...
متن کاملKrylov subspace methods for projected Lyapunov equations
We consider the numerical solution of projected Lyapunov equations using Krylov subspace iterative methods. Such equations play a fundamental role in balanced truncation model reduction of descriptor systems. We present generalizations of the extended block and global Arnoldi methods to projected Lyapunov equations and compare these methods with the alternating direction implicit method with re...
متن کاملPreconditioned Generalized Minimal Residual Method for Solving Fractional Advection-Diffusion Equation
Introduction Fractional differential equations (FDEs) have attracted much attention and have been widely used in the fields of finance, physics, image processing, and biology, etc. It is not always possible to find an analytical solution for such equations. The approximate solution or numerical scheme may be a good approach, particularly, the schemes in numerical linear algebra for solving ...
متن کاملOn the numerical solution of generalized Sylvester matrix equations
The global FOM and GMRES algorithms are among the effective methods to solve Sylvester matrix equations. In this paper, we study these algorithms in the case that the coefficient matrices are real symmetric (real symmetric positive definite) and extract two CG-type algorithms for solving generalized Sylvester matrix equations. The proposed methods are iterative projection metho...
متن کاملGGMRES: A GMRES--type algorithm for solving singular linear equations with index one
In this paper, an algorithm based on the Drazin generalized conjugate residual (DGMRES) algorithm is proposed for computing the group-inverse solution of singular linear equations with index one. Numerical experiments show that the resulting group-inverse solution is reasonably accurate and its computation time is significantly less than that of group-inverse solution obtained by the DGMRES alg...
متن کامل