A multigrid method to solve large scale Sylvester equations

被引:25
作者
Grasedyck, Lars [1 ]
Hackbusch, Wolfgang [1 ]
机构
[1] Max Planck Inst Math Sci, Dept Comp Sci, D-04103 Leipzig, Germany
关键词
fast solver; Lyapunov equation; Riccati equation; Sylvester equation; control problem; low rank approximation; multigrid method;
D O I
10.1137/040618102
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
We consider the Sylvester equation AX - XB + C = 0, where the matrix C is an element of R-nxm is of low rank and the spectra of A is an element of R-nxn and B is an element of R-mxm are separated by a line. The solution X can be approximated in a data-sparse format, and we develop a multigrid algorithm that computes the solution in this format. For the multigrid method to work, we need a hierarchy of discretizations. Here the matrices A and B each stem from the discretization of a partial differential operator of elliptic type. The algorithm is of complexity O(n + m), or, more precisely, if the solution can be represented with (n + m)k data (k similar to log(n + m)), then the complexity of the algorithm is O(( n + m) k(2)).
引用
收藏
页码:870 / 894
页数:25
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