933 research outputs found
A structure-preserving doubling algorithm for quadratic eigenvalue problems arising from time-delay systems
AbstractWe propose a structure-preserving doubling algorithm for a quadratic eigenvalue problem arising from the stability analysis of time-delay systems. We are particularly interested in the eigenvalues on the unit circle, which are difficult to estimate. The convergence and backward error of the algorithm are analyzed and three numerical examples are presented. Our experience shows that our algorithm is efficient in comparison to the few existing approaches for small to medium size problems
Iterative and doubling algorithms for Riccati-type matrix equations: a comparative introduction
We review a family of algorithms for Lyapunov- and Riccati-type equations
which are all related to each other by the idea of \emph{doubling}: they
construct the iterate of another naturally-arising fixed-point
iteration via a sort of repeated squaring.
The equations we consider are Stein equations , Lyapunov
equations , discrete-time algebraic Riccati equations
, continuous-time algebraic Riccati equations
, palindromic quadratic matrix equations , and
nonlinear matrix equations . We draw comparisons among these
algorithms, highlight the connections between them and to other algorithms such
as subspace iteration, and discuss open issues in their theory.Comment: Review article for GAMM Mitteilunge
Vibration of fast trains, palindromic eigenvalue problems and structure-preserving doubling algorithms
AbstractThe vibration of fast trains is governed by a quadratic palindromic eigenvalue problem (λ2A1T+λA0+A1)x=0, where A0,A1∈Cn×n and A0T=A0. Accurate and efficient solution can only be obtained using algorithms which preserve the structure of the eigenvalue problem. This paper reports on the successful application of the structure-preserving doubling algorithms
A Subspace Shift Technique for Nonsymmetric Algebraic Riccati Equations
The worst situation in computing the minimal nonnegative solution of a
nonsymmetric algebraic Riccati equation associated with an M-matrix occurs when
the corresponding linearizing matrix has two very small eigenvalues, one with
positive and one with negative real part. When both these eigenvalues are
exactly zero, the problem is called critical or null recurrent. While in this
case the problem is ill-conditioned and the convergence of the algorithms based
on matrix iterations is slow, there exist some techniques to remove the
singularity and transform the problem to a well-behaved one. Ill-conditioning
and slow convergence appear also in close-to-critical problems, but when none
of the eigenvalues is exactly zero the techniques used for the critical case
cannot be applied.
In this paper, we introduce a new method to accelerate the convergence
properties of the iterations also in close-to-critical cases, by working on the
invariant subspace associated with the problematic eigenvalues as a whole. We
present a theoretical analysis and several numerical experiments which confirm
the efficiency of the new method
A structure-preserving doubling algorithm for Lur'e equations
We introduce a numerical method for the numerical solution of the Lur'e equations, a system of matrix equations that arises, for instance, in linear-quadratic infinite time horizon optimal control. We focus on small-scale, dense problems. Via a Cayley transformation, the problem is transformed to the discrete-time case, and the structural infinite eigenvalues of the associated matrix pencil are deflated. The deflated problem is associated with a symplectic pencil with several Jordan blocks of eigenvalue 1 and even size, which arise from the nontrivial Kronecker chains at infinity of the original problem. For the solution of this modified problem, we use the structure-preserving doubling algorithm. Implementation issues such as the choice of the parameter γ in the Cayley transform are discussed. The most interesting feature of this method, with respect to the competing approaches, is the absence of arbitrary rank decisions, which may be ill-posed and numerically troublesome. The numerical examples presented confirm the effectiveness of this method
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