Related papers: A modified large-scale structure-preserving doubli…
The structure-preserving doubling algorithm (SDA) is a fairly efficient method for solving problems closely related to Hamiltonian (or Hamiltonian-like) matrices, such as computing the required solutions to algebraic Riccati equations.…
In \emph{Guo et al, arXiv:2005.08288}, we propose a decoupled form of the structure-preserving doubling algorithm (dSDA). The method decouples the original two to four coupled recursions, enabling it to solve large-scale algebraic Riccati…
This paper analyzes a special instance of nonsymmetric algebraic matrix Riccati equations arising from transport theory. Traditional approaches for finding the minimal nonnegative solution of the matrix Riccati equations are based on the…
For large-scale discrete-time algebraic Riccati equations (DAREs) with high-rank nonlinear and constant terms, the stabilizing solutions are no longer numerically low-rank, resulting in the obstacle in the computation and storage. However,…
This paper proposes an effective low-rank alternating direction doubling algorithm (R-ADDA) for computing numerical low-rank solutions to large-scale sparse continuous-time algebraic Riccati matrix equations. The method is based on the…
In this paper we mainly propose efficient and reliable numerical algorithms for solving stochastic continuous-time algebraic Riccati equations (SCARE) typically arising from the differential statedependent Riccati equation technique from…
The discretized Bethe-Salpeter eigenvalue problem arises in the Green's function evaluation in many body physics and quantum chemistry. Discretization leads to a matrix eigenvalue problem for $H \in \mathbb{C}^{2n\times 2n}$ with a…
A defect correction formula for quadratic matrix equations of the kind $A_1X^2+A_0X+A_{-1}=0$ is presented. This formula, expressed by means of an invariant subspace of a suitable pencil, allows us to introduce a modification of the…
In the present paper, we consider large scale nonsymmetric differential matrix Riccati equations with low rank right hand sides. These matrix equations appear in many applications such as control theory, transport theory, applied…
Model order reduction algorithms for large-scale descriptor systems are proposed using balanced truncation, in which symmetry or block skew symmetry (reciprocity) and the positive realness of the original transfer matrix are preserved. Two…
We consider the numerical solution of large-scale M-matrix algebraic Riccati equations with low-rank structures. We derive a new doubling iteration, decoupling the four original iteration formulae in the alternating-directional doubling…
We develop a new randomized iterative algorithm---stochastic dual ascent (SDA)---for finding the projection of a given vector onto the solution space of a linear system. The method is dual in nature: with the dual being a non-strongly…
Markov-modulated fluid queues are popular stochastic processes frequently used for modelling real-life applications. An important performance measure to evaluate in these applications is their steady-state behaviour, which is determined by…
We propose a new algorithm for a broad class of periodic time-varying Stochastic Game-Theoretic Riccati Differential Equations arising in Zero-Sum Linear-Quadratic Stochastic Differential Games. The algorithm is constructed via dual-layer…
In this paper we propose and study a new complexity model for approximation algorithms. The main motivation are practical problems over large data sets that need to be solved many times for different scenarios, e.g., many multicast trees…
We consider the numerical solution of large-scale symmetric differential matrix Riccati equations. Under certain hypotheses on the data, reduced order methods have recently arisen as a promising class of solution strategies, by forming…
We present a new balancing-based structure-preserving model reduction technique for linear port-Hamiltonian descriptor systems. The proposed method relies on a modification of a set of two dual generalized algebraic Riccati equations that…
We review a family of algorithms for Lyapunov- and Riccati-type equations which are all related to each other by the idea of \emph{doubling}: they construct the iterate $Q_k = X_{2^k}$ of another naturally-arising fixed-point iteration…
Data assimilation addresses the problem of identifying plausible state trajectories of dynamical systems given noisy or incomplete observations. In geosciences, it presents challenges due to the high-dimensionality of geophysical dynamical…
In this paper we derive a Toeplitz-structured closed form of the unique positive semi-definite stabilizing solution for the discrete-time algebraic Riccati equations, especially for the case that the state matrix is not stable. Based on the…