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18th GAMM-Seminar Leipzig on
Multigrid and related methods for optimization problems

Max-Planck-Institute for Mathematics in the Sciences
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  18th GAMM-Seminar
January, 24th-26th, 2002
 
     
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  Abstract L. Grasedyck, Thu, 11.30-11.55 Previous Contents Next  
  Using H-matrices for the autonomous LQ control problem
L. Grasedyck (Uni Kiel)

H-matrices are data-sparse and allow an approximate matrix arithmetic of nearly optimal complexity. We present a new approach to apply H-matrices for the solution of large scale Lyapunov and algebraic Riccati equations (AX + XA' - XFX + G = 0) as they typically arise in LQ control problems. This approach leads to an algorithm of nearly optimal complexity. The matrix F is assumed to be of low rank (low dimensional control) while the matrix G can be of arbitrary H-matrix structure.
 

 
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Last updated:
30.11.2004 Impressum
 
Concept, Design and Realisation
[O->]Jens Burmeister (Uni Kiel), Kai Helms (MPI Leipzig)
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