Low-Rank Methods for Solving Discrete-Time Projected Lyapunov Equations

Abstract

In this paper, we consider the numerical solution of large-scale discrete-time projected Lyapunov equations. We provide some reasonable extensions of the most frequently used low-rank iterative methods for linear matrix equations, such as the low-rank Smith method and the low-rank alternating-direction implicit (ADI) method. We also consider how to reduce complex arithmetic operations and storage when shift parameters are complex and propose a partially real version of the low-rank ADI method. Through two standard numerical examples from discrete-time descriptor systems, we will show that the proposed low-rank alternating-direction implicit method is efficient.

Keywords

• discrete-time projected Lyapunov equation
• Smith method
• ADI method
• low-rank method
• matrix pencil
• D-stable