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arXiv · 2404.12155

Low-rank alternating direction doubling algorithm for solving large-scale continuous time algebraic Riccati equations

Juan Zhang·Wenlu Xun
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Abstract

This paper proposes an effective low-rank alternating direction doubling algorithm (R-ADDA) for computing numerical low-rank solutions to large-scale sparse continuous-time algebraic Riccati matrix equations. The method is based on the alternating direction doubling algorithm (ADDA), utilizing the low-rank property of matrices and employing Cholesky factorization for solving. The advantage of the new algorithm lies in computing only the $2^k$-th approximation during the iterative process, instead of every approximation. Its efficient low-rank formula saves storage space and is highly effective from a computational perspective. Finally, the effectiveness of the new algorithm is demonstrated through theoretical analysis and numerical experiments.

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Juan Zhang, Wenlu Xun. 2024-04-22. Low-rank alternating direction doubling algorithm for solving large-scale continuous time algebraic Riccati equations. https://arxiv.org/abs/2404.12155

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