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  4. MATHICSE Technical Report : Low-rank updates and a divideand- conquer method for linear matrix equations
 
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MATHICSE Technical Report : Low-rank updates and a divideand- conquer method for linear matrix equations

Kressner, Daniel  
•
Massei, Stefano  
•
Robol, Leonardo
December 13, 2017

Linear matrix equations, such as the Sylvester and Lyapunov equations, play an important role in various applications, including the stability analysis and dimensionality reduction of linear dynamical control systems and the solution of partial differential equations. In this work, we present and analyze a new algorithm, based on tensorized Krylov subspaces, for quickly updating the solution of such a matrix equation when its coefficients undergo low-rank changes. We demonstrate how our algorithm can be utilized to accelerate the Newton method for solving continuous-time algebraic Riccati equations. Our algorithm also forms the basis of a new divide-and-conquer approach for linear matrix equations with coefficients that feature hierarchical low-rank structure, such as HODLR, HSS, and banded matrices. Numerical experiments demonstrate the advantages of divide-and-conquer over existing approaches, in terms of computational time and memory consumption.

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Type
working paper
DOI
10.5075/epfl-MATHICSE-270593
Author(s)
Kressner, Daniel  
Massei, Stefano  
Robol, Leonardo
Corporate authors
MATHICSE-Group
Date Issued

2017-12-13

Publisher

MATHICSE

Subjects

Sylvester equation

•

Lyapunov equation

•

Low-rank update

•

Divide-and-conquer

•

Hierarchical matrices

Note

MATHICSE Technical Report Nr. 27.2017

Written at

EPFL

EPFL units
ANCHP  
Available on Infoscience
September 20, 2019
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/161429
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