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ADI iteration for Lyapunov equations: a tangential approach and adaptive shift selection (1312.1142v1)
Published 4 Dec 2013 in math.NA, cs.SY, and math.DS
Abstract: A new version of the alternating directions implicit (ADI) iteration for the solution of large-scale Lyapunov equations is introduced. It generalizes the hitherto existing iteration, by incorporating tangential directions in the way they are already available for rational Krylov subspaces. Additionally, first strategies to adaptively select shifts and tangential directions in each iteration are presented. Numerical examples emphasize the potential of the new results.