Numerical solution of large Lyapunov equations
Yousef El-Mabruk Saad · NASA STI Repository (National Aeronautics and Space Administration) · 1989
A few methods are proposed for solving large Lyapunov equations that arise in control problems. The common case where the right hand side is a small rank matrix is considered. For the single input case, i.e., when the equation considered is of the form AX + XA(sup T) + bb(sup T) = 0, where b is a column vector, the existence of approximate solutions of the form X = VGV(sup T) where V is N x m and G is m x m, with m small is established. The first class of methods proposed is based on the use of numerical quadrature formulas, such as Gauss-Laguerre formulas, applied to the controllability Grammian. The second is based on a projection process of Galerkin type. Numerical experiments are presented to test the effectiveness of these methods for large problems.