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Generalized Alternating Direction Implicit Method for Projected Generalized Lyapunov Equations
Author(s) -
Stykel Tatjana
Publication year - 2004
Publication title -
pamm
Language(s) - English
Resource type - Journals
ISSN - 1617-7061
DOI - 10.1002/pamm.200410324
Subject(s) - alternating direction implicit method , rank (graph theory) , mathematics , lyapunov function , lyapunov equation , positive definite matrix , mathematical analysis , lyapunov exponent , physics , nonlinear system , finite difference method , combinatorics , eigenvalues and eigenvectors , quantum mechanics
We generalize an alternating direction implicit method for projected generalized Lyapunov equations. Low rank versions of this method is also presented that can be used to compute a low rank approximation of the solution of Lyapunov equations with symmetric, positive semidefinite right‐hand side. Numerical example is given. (© 2004 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)