Low-rank approximation to the solution of a nonsymmetric algebraic Riccati equation from transport theory

Peter Chang Yi Weng, Hung-Yuan Fan, Eric King Wah Chu

Research output: Contribution to journalArticle

10 Citations (Scopus)

Abstract

We consider the solution of the large-scale nonsymmetric algebraic Riccati equation XCX-XD-AX+B=0 from transport theory (Juang 1995), with M≡[D,-C;-B,A]∈R2 n×2n being a nonsingular M-matrix. In addition, A,D are rank-1 updates of diagonal matrices, with the products A- 1u,A- u,D- 1v and D- v computable in O(n) complexity, for some vectors u and v, and B, C are rank 1. The structure-preserving doubling algorithm by Guo et al. (2006) is adapted, with the appropriate applications of the Sherman-Morrison-Woodbury formula and the sparse-plus-low-rank representations of various iterates. The resulting large-scale doubling algorithm has an O(n) computational complexity and memory requirement per iteration and converges essentially quadratically, as illustrated by the numerical examples.

Original languageEnglish
Pages (from-to)729-740
Number of pages12
JournalApplied Mathematics and Computation
Volume219
Issue number2
DOIs
Publication statusPublished - 2012 Oct 1

Keywords

  • Doubling algorithm
  • Krylov subspace
  • M-matrix
  • Nonsymmetric algebraic Riccati equation

ASJC Scopus subject areas

  • Computational Mathematics
  • Applied Mathematics

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