Block variants of Hammarling's method for solving Lyapunov equations

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.


Published in:
ACM Transactions on Mathematical Software, 34, 1, 1-15
Year:
2008
Publisher:
Association for Computing Machinery
ISSN:
0098-3500
Keywords:
Laboratories:




 Record created 2011-05-05, last modified 2018-03-17

Preprint:
Download fulltext
PDF

Rate this document:

Rate this document:
1
2
3
 
(Not yet reviewed)