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MiS Preprint
62/2002

Solution of large scale algebraic matrix Riccati equations by use of hierarchical matrices

Lars Grasedyck, Wolfgang Hackbusch and Boris N. Khoromskij

Abstract

In previous papers, a class of hierarchical matrices (H-matrices) is introduced which are data-sparse and allow an approximate matrix arithmetic of almost optimal complexity. Here, we investigate a new approach to exploit the H-matrix structure for the solution of large scale Lyapunov and Riccati equations as they typically arise for optimal control problems where the constraint is a partial differential equation of elliptic type. This approach leads to an algorithm of linear-logarithmic complexity in the size of the matrices.

Received:
Jul 30, 2002
Published:
Jul 30, 2002
MSC Codes:
65F05, 65F30, 65F50
Keywords:
hierarchical matrices, riccati equation, lyapunov equation

Related publications

inJournal
2003 Repository Open Access
Lars Grasedyck, Wolfgang Hackbusch and Boris N. Khoromskij

Solution of large scale algebraic matrix Riccati equations by use of hierarchical matrices

In: Computing, 70 (2003) 2, pp. 121-165