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Block variants of Hammarling's method for solving Lyapunov equations
Umeå University, Faculty of Science and Technology, Departement of Computing Science.
2008 (English)In: Acm Transactions on Mathematical Software, Vol. 34, no 1Article in journal (Refereed) Published
Abstract [en]

This article is concerned with the efficient numerical solution of the Lyapunov equation A(T) X + XA = -C with a stable matrix A and a symmetric positive semidefinite matrix C of possibly small rank. We discuss the efficient implementation of Hammarling's method and propose among other algorithmic improvements a block variant, which is demonstrated to perform significantly better than existing implementations. An extension to the discrete-time Lyapunov equation A(T) XA - X = - C is also described.

Place, publisher, year, edition, pages
2008. Vol. 34, no 1
URN: urn:nbn:se:umu:diva-21876ISBN: 0098-3500OAI: diva2:212136
Kressner, DanielAvailable from: 2009-04-21 Created: 2009-04-21 Last updated: 2009-04-21

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