Related papers: Iterative and doubling algorithms for Riccati-type…
In this paper, we discuss numerical methods for solving large-scale continuous-time algebraic Riccati equations. These methods have been the focus of intensive research in recent years, and significant progress has been made in both the…
We consider the large scale nonsymmetric algebraic Riccati equation arising in transport theory, where the $n\times n$ coefficient matrices $B, C$ are symmetric and low-ranked and $A, E$ are rank one updates of nonsingular diagonal…
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.…
We introduce innovative algorithms for computing exact or approximate (minimum-norm) solutions to $Ax=b$ or the {\it normal equation} $A^TAx=A^Tb$, where $A$ is an $m \times n$ real matrix of arbitrary rank. We present more efficient…
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…
In this paper, we develop a unified framework able to certify both exponential and subexponential convergence rates for a wide range of iterative first-order optimization algorithms. To this end, we construct a family of parameter-dependent…
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 prove a conjecture about the minimal nonnegative solutions of algebraic Riccati equations associated with reducible singular M-matrices. The result enhances our understanding of the behaviour of doubling algorithms for finding the…
This paper proposes a novel iterative algorithm to compute the stabilizing solution of regime-switching stochastic game-theoretic Riccati differential equations with periodic coefficients. The method decomposes the original complex…
In this paper, we describe sufficient conditions when block-diagonal solutions to Lyapunov and $\mathcal{H}_{\infty}$ Riccati inequalities exist. In order to derive our results, we define a new type of comparison systems, which are positive…
We generalize the Rayleigh Quotient Iteration (RQI) to the problem of solving a nonlinear equation where the variables are divided into two subsets, one satisfying additional equality constraints and the other could be considered as…
Traditionally, there are several polynomial algorithms for linear programming including the ellipsoid method, the interior point method and other variants. Recently, Chubanov [Chubanov, 2015] proposed a projection and rescaling algorithm,…
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…
Single scale Feynman integrals in quantum field theories obey difference or differential equations with respect to their discrete parameter $N$ or continuous parameter $x$. The analysis of these equations reveals to which order they…
We consider the solution of the Sylvester equation $AX+XB=C$ in mixed precision. We derive a new iterative refinement scheme to solve perturbed quasi-triangular Sylvester equations; our rounding error analysis provides sufficient conditions…
A Lyapunov matrix equation can be converted, by using the Jordan decomposition theorem for matrices, into an equivalent Lyapunov matrix equation where the matrix is a Jordan matrix. The Lyapunov matrix equation with Jordan matrix can be…
Lyapunov functions play a fundamental role in analyzing the stability and convergence properties of optimization methods. In this paper, we propose a novel and straightforward approach for constructing Lyapunov functions for first-order…
In this paper, we consider three types of polynomial equations in quantum computer: linear divisibility equation, which belongs to a special type of binary-quadratic Diophantine equation; quadratic congruence equation with restriction in…
We study in this paper the linear quadratic optimal control (linear quadratic regulation, LQR for short) for discrete-time complex-valued linear systems, which have shown to have several potential applications in control theory. Firstly, an…
Sequences of parametrized Lyapunov equations can be encountered in many application settings. Moreover, solutions of such equations are often intermediate steps of an overall procedure whose main goal is the computation of…