A New Iterative Method for Solving Large-Scale Lyapunov Matrix Equations

Authors:
V. Simoncini
Affiliations:
-
Venue:
SIAM Journal on Scientific Computing
Year:
2007

Citing 0
Cited 15

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Abstract

In this paper we propose a new projection method to solve large-scale continuous-time Lyapunov matrix equations. The new approach projects the problem onto a much smaller approximation space, generated as a combination of Krylov subspaces in $A$ and $A^{-1}$. The reduced problem is then solved by means of a direct Lyapunov scheme based on matrix factorizations. The reported numerical results show the competitiveness of the new method, compared to a state-of-the-art approach based on the factorized alternating direction implicit iteration.