On the ADI method for the Sylvester equation and the optimal-H2 points

The ADI iteration is closely related to the rational Krylov projection methods for constructing low rank approximations to the solution of Sylvester equations. In this paper we show that the ADI and rational Krylov approximations are in fact equivalent when a special choice of shifts are employed in both methods. We will call these shifts pseudo H-2-optimal shifts. These shifts are also optimal in the sense that for the Lyapunov equation, they yield a residual which is orthogonal to the rational Krylov projection subspace. Via several examples, we show that the pseudo H-2-optimal shifts consistently yield nearly optimal low rank approximations to the solutions of the Lyapunov equations. (C) 2012 IMACS. Published by Elsevier B.V. All rights reserved.