Volume 70, Number 2, 121-165, DOI: 10.1007/s00607-002-1470-0

Solution of Large Scale Algebraic Matrix Riccati Equations by Use of Hierarchical Matrices

L. Grasedyck, W. Hackbusch and B. N. Khoromskij

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Abstract

In previous papers, a class of hierarchical matrices (ℋ-matrices) is introduced which are data-sparse and allow an approximate matrix arithmetic of almost optimal complexity. Here, we investigate a new approach to exploit the ℋ-matrix structure for the solution of large scale Lyapunov and Riccati equations as they typically arise for optimal control problems where the constraint is a partial differential equation of elliptic type. This approach leads to an algorithm of linear-logarithmic complexity in the size of the matrices.

AMS Subject Classifications: 65F05, 65F30, 65F50.

Keywords: Hierarchical matrices, data-sparse approximations, formatted matrix operations, fast solvers, Lyapunov equations, Riccati equations, control problems.

Received July 30, 2002; revised December 16, 2002 Published online: April 22, 2003

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