Convergence Analysis of Projection Methods for the Numerical Solution of Large Lyapunov Equations
Valeria Simoncini, Vladimir L. Druskin · SIAM Journal on Numerical Analysis · 2009
The numerical solution of large-scale continuous-time Lyapunov matrix equations is of great importance in many application areas. Assuming that the coefficient matrix is positive definite, but not necessarily symmetric, in this paper we analyze the convergence of projection-type methods for approximating the solution matrix. Under suitable hypotheses on the coefficient matrix, we provide new asymptotic estimates for the error matrix when a Galerkin method is used in a Krylov subspace. Numerical experiments confirm the good behavior of our upper bounds when linear convergence of the solver is observed.