1. Nonlinear multigrid for the solution of large-scale Riccati equations in low-rank and ℋ-matrix format.
- Author
-
Grasedyck, L.
- Subjects
- *
RICCATI equation , *APPROXIMATION theory , *MATRICES (Mathematics) , *ALGORITHMS , *DIFFERENTIAL equations , *MULTILEVEL models - Abstract
The algebraic matrix Riccati equation AX+XAT-XFX+C=0, where matrices A, B, C, F ∈ ℝn × n are given and a solution X ∈ ℝn × n is sought, plays a fundamental role in optimal control problems. Large-scale systems typically appear if the constraint is described by a partial differential equation (PDE). We provide a nonlinear multigrid algorithm that computes the solution X in a data-sparse, low-rank format and has a complexity of 𝒪(n), subject to the condition that F and C are of low rank and A is the finite element or finite difference discretization of an elliptic PDE. We indicate how to generalize the method to ℋ-matrices C, F and X that are only blockwise of low rank and thus allow a broader applicability with a complexity of 𝒪(nlog(n)p), p being a small constant. The method can also be applied to unstructured and dense matrices C and X in order to solve the Riccati equation in 𝒪(n2). Copyright © 2008 John Wiley & Sons, Ltd. [ABSTRACT FROM AUTHOR]
- Published
- 2008
- Full Text
- View/download PDF