On Solving Large Algebraic. Riccati Matrix Equations

Similar documents
ON THE GLOBAL KRYLOV SUBSPACE METHODS FOR SOLVING GENERAL COUPLED MATRIX EQUATIONS

Approximate Low Rank Solution of Generalized Lyapunov Matrix Equations via Proper Orthogonal Decomposition

PROJECTED GMRES AND ITS VARIANTS

4.8 Arnoldi Iteration, Krylov Subspaces and GMRES

MATH 304 Linear Algebra Lecture 20: The Gram-Schmidt process (continued). Eigenvalues and eigenvectors.

Algorithms that use the Arnoldi Basis

Review of Linear Algebra

ON ORTHOGONAL REDUCTION TO HESSENBERG FORM WITH SMALL BANDWIDTH

The Newton-ADI Method for Large-Scale Algebraic Riccati Equations. Peter Benner.

LARGE SPARSE EIGENVALUE PROBLEMS. General Tools for Solving Large Eigen-Problems

LARGE SPARSE EIGENVALUE PROBLEMS

The quadratic eigenvalue problem (QEP) is to find scalars λ and nonzero vectors u satisfying

AN ITERATIVE METHOD TO SOLVE SYMMETRIC POSITIVE DEFINITE MATRIX EQUATIONS

Order reduction numerical methods for the algebraic Riccati equation. V. Simoncini

Summary of Iterative Methods for Non-symmetric Linear Equations That Are Related to the Conjugate Gradient (CG) Method

DELFT UNIVERSITY OF TECHNOLOGY

On the solution of large Sylvester-observer equations

Structured Condition Numbers of Symmetric Algebraic Riccati Equations

Course Notes: Week 1

The Lanczos and conjugate gradient algorithms

Inexactness and flexibility in linear Krylov solvers

The Solvability Conditions for the Inverse Eigenvalue Problem of Hermitian and Generalized Skew-Hamiltonian Matrices and Its Approximation

Krylov Subspaces. Lab 1. The Arnoldi Iteration

AMS526: Numerical Analysis I (Numerical Linear Algebra) Lecture 23: GMRES and Other Krylov Subspace Methods; Preconditioning

Computing tomographic resolution matrices using Arnoldi s iterative inversion algorithm

On the loss of orthogonality in the Gram-Schmidt orthogonalization process

Krylov Subspace Methods that Are Based on the Minimization of the Residual

Charles University Faculty of Mathematics and Physics DOCTORAL THESIS. Krylov subspace approximations in linear algebraic problems

AMS526: Numerical Analysis I (Numerical Linear Algebra)

M.A. Botchev. September 5, 2014

Properties of Matrices and Operations on Matrices

IDR(s) as a projection method

arxiv: v1 [math.na] 5 Jun 2017

Krylov Subspace Type Methods for Solving Projected Generalized Continuous-Time Lyapunov Equations

A short course on: Preconditioned Krylov subspace methods. Yousef Saad University of Minnesota Dept. of Computer Science and Engineering

Last Time. Social Network Graphs Betweenness. Graph Laplacian. Girvan-Newman Algorithm. Spectral Bisection

Matrix Algebra: Summary

NORMS ON SPACE OF MATRICES

MATH 31 - ADDITIONAL PRACTICE PROBLEMS FOR FINAL

ITERATIVE METHODS BASED ON KRYLOV SUBSPACES

6.4 Krylov Subspaces and Conjugate Gradients

Approximating the matrix exponential of an advection-diffusion operator using the incomplete orthogonalization method

S.F. Xu (Department of Mathematics, Peking University, Beijing)

ISOLATED SEMIDEFINITE SOLUTIONS OF THE CONTINUOUS-TIME ALGEBRAIC RICCATI EQUATION

Affine iterations on nonnegative vectors

Fall TMA4145 Linear Methods. Exercise set Given the matrix 1 2

Model reduction via tangential interpolation

The rational Krylov subspace for parameter dependent systems. V. Simoncini

Preliminary/Qualifying Exam in Numerical Analysis (Math 502a) Spring 2012

Matrices and Vectors. Definition of Matrix. An MxN matrix A is a two-dimensional array of numbers A =

Conjugate Gradient (CG) Method

ECS231 Handout Subspace projection methods for Solving Large-Scale Eigenvalue Problems. Part I: Review of basic theory of eigenvalue problems

Chapter 3 Transformations

Eigenvalue Problems CHAPTER 1 : PRELIMINARIES

ELE/MCE 503 Linear Algebra Facts Fall 2018

A DISSERTATION. Extensions of the Conjugate Residual Method. by Tomohiro Sogabe. Presented to

Linear Algebra Massoud Malek

Math 443 Differential Geometry Spring Handout 3: Bilinear and Quadratic Forms This handout should be read just before Chapter 4 of the textbook.

An Asynchronous Algorithm on NetSolve Global Computing System

The amount of work to construct each new guess from the previous one should be a small multiple of the number of nonzeros in A.

Chapter 7. Iterative methods for large sparse linear systems. 7.1 Sparse matrix algebra. Large sparse matrices

Iterative Methods for Solving A x = b

1 Linear Algebra Problems

Structured Krylov Subspace Methods for Eigenproblems with Spectral Symmetries

Augmented GMRES-type methods

A HARMONIC RESTARTED ARNOLDI ALGORITHM FOR CALCULATING EIGENVALUES AND DETERMINING MULTIPLICITY

Computation of eigenvalues and singular values Recall that your solutions to these questions will not be collected or evaluated.

Solution of eigenvalue problems. Subspace iteration, The symmetric Lanczos algorithm. Harmonic Ritz values, Jacobi-Davidson s method

Iterative methods for Linear System

Applied Mathematics 205. Unit V: Eigenvalue Problems. Lecturer: Dr. David Knezevic

Solution of eigenvalue problems. Subspace iteration, The symmetric Lanczos algorithm. Harmonic Ritz values, Jacobi-Davidson s method

Conjugate gradient method. Descent method. Conjugate search direction. Conjugate Gradient Algorithm (294)

Preconditioned inverse iteration and shift-invert Arnoldi method

DS-GA 1002 Lecture notes 0 Fall Linear Algebra. These notes provide a review of basic concepts in linear algebra.

Assignment 1 Math 5341 Linear Algebra Review. Give complete answers to each of the following questions. Show all of your work.

arxiv: v1 [cs.na] 25 May 2018

Conceptual Questions for Review

Krylov Subspaces. The order-n Krylov subspace of A generated by x is

Interval solutions for interval algebraic equations

Introduction to Iterative Solvers of Linear Systems

Lecture 1: Review of linear algebra

The norms can also be characterized in terms of Riccati inequalities.

Announcements Monday, October 02

Announcements Wednesday, October 10

COMP 558 lecture 18 Nov. 15, 2010

Arnoldi Methods in SLEPc

ANY FINITE CONVERGENCE CURVE IS POSSIBLE IN THE INITIAL ITERATIONS OF RESTARTED FOM

AMS526: Numerical Analysis I (Numerical Linear Algebra)

j=1 [We will show that the triangle inequality holds for each p-norm in Chapter 3 Section 6.] The 1-norm is A F = tr(a H A).

Krylov Space Methods. Nonstationary sounds good. Radu Trîmbiţaş ( Babeş-Bolyai University) Krylov Space Methods 1 / 17

x 3y 2z = 6 1.2) 2x 4y 3z = 8 3x + 6y + 8z = 5 x + 3y 2z + 5t = 4 1.5) 2x + 8y z + 9t = 9 3x + 5y 12z + 17t = 7

Lecture 17 Methods for System of Linear Equations: Part 2. Songting Luo. Department of Mathematics Iowa State University

Iterative Solution of a Matrix Riccati Equation Arising in Stochastic Control

Exam questions with full solutions

Factorized Solution of Sylvester Equations with Applications in Control

Topics. The CG Algorithm Algorithmic Options CG s Two Main Convergence Theorems

Notes on singular value decomposition for Math 54. Recall that if A is a symmetric n n matrix, then A has real eigenvalues A = P DP 1 A = P DP T.

Algebra II. Paulius Drungilas and Jonas Jankauskas

ABSTRACT OF DISSERTATION. Ping Zhang

Simple iteration procedure

Transcription:

International Mathematical Forum, 5, 2010, no. 33, 1637-1644 On Solving Large Algebraic Riccati Matrix Equations Amer Kaabi Department of Basic Science Khoramshahr Marine Science and Technology University Khoramshahr, Iran kaabi amer@yahoo.com kaabi amer@kmsu.ac.ir Abstract In this paper, we present a numerical method for solving large continuoustime algebraic Riccati equations. This method is based on the global FOM algorithm and we call it by global FOM-Riccati-Like (GFRL) algorithm. Keywords: Argebraic Riccati equations; Modified global Arnoldi; Krylov subspaces; FOM 1 Introduction In this paper, we are concerned with the numerical solution of large continuoustime algebraic Riccati equations (CAREs) A T X + XA XBB T X + CC T = 0 (1) where A, X IR n n,b IR n p, C IR n s, with s n, and p n. we present a numerical method for solving this kind of Riccati matrix equation. This kind of matrix equation arise in control theory, linear quadratic regular

1638 A. Kaabi problems, H or H 2 control, model reduction problems and many other cases; see, e. g., [1, 2, 4, 5, 9]. In addition Newton method and its variants, the methods which are based on eigenvector approaches and consist in computing the Lagrange invariant subspaces of a Hamiltonian matrix are used for small dimensional problem [3, 9, 10]. Recently, Jbilou et al. [8] have proposed the global FOM and GMRES algorithms for solving matrix equations AX = B, where A IR n n, and B IR n s. Also, In [6, 7], he proposed methods for approximating solution of large and sparse continuous-time algebraic Riccati matrix equations. His proposed methods are methods of projection onto a matrix Krylov subspace. He used a matrix Arnoldi process to construct an orthonormal basis. In this paper, we present two new algorithms based on block Krylov subspace methods for solving large and sparse continuous-time algebraic Riccati matrix equations. Throughout this paper, we use the following notations. Let IE = IR n n. For X and Y in IE, we define the inner product <X,Y > F = tr(x T Y ), where tr(z) denotes the trace of the square matrix Z, and X T denotes the transpose of the matrix X. The associated norm is the well-known Frobenius norm denoted by. F. For V IE the matrix Krylov subspace K m (A, V ) is defined as follows: K m (A, V )=span{v, AV,..., A m V }, which is a subspace of IE. A set of members of IE is said to be F-orthonormal if it is orthonormal with respect to scaler product <.,.> F. This paper is organized as follows. In Section 2 we give a brief discussion of Arnoldi algorithm. The new algorithm is given in Section 3. Some concluding remarks are given in Section 4. 2 Global Arnoldi process. Let V IE, as we see in [8] global Arnoldi process construct an F-orthonormal basis V 1,V 2,..., V m, of Krylov subspace K m (A, V ). It is clear that, each U in

On solving large algebraic Riccati matrix equations 1639 K m (A, V ) can be written by the following formula U = m 1 i=0 α i A i V, where α i, i =0, 1,..., m 1 are scalers. The modified global Arnoldi algorithm for constructing an F-orthogonal basis of this Krylov subspace is as following: Algorithm 1. Modified Global Arnoldi algorithm 1. Choose an n n matrix V 1 such that V F =1. 2. For j =1,..., m Do: 3. Compute W := AV j 4. For i =1,..., j Do: 5. h i, j = tr(vi T W ) 6. W = W h i, j V i 7. EndDo 8. h j+1, j = W F. If h j+1, j = 0 then stop. 9. V j+1 = W/h j+1, j. 10. EndDo. Let us collect the matrices V i constructed by the algorithm 1 in the n mn and n (m +1)n orthonormal matrices V m =[V 1,..., V m ] and V m+1 =[V m,v m+1 ] and also we denote by H m the upper m m Hessenberg matrix whose entries are the scalers h ij and the (m +1) m matrix H m is the same as H m except for an additional row whose only nonzero element is h m+1, m in the (m +1,m) position. Next, we use the notation for the following product: m V m y = α i V i, (2) i=1 where α =(α 1,α 2,..., α m ) is a vector in IR m and, by same way, we set V m H m =[V m Hm 1,..., V m Hm m ], (3) where H j m denote the jth column of the matrix H m. It can be easily seen that V m (α + β) =V m α + V m β, (V m H m ) α = V m (H m α) (4)

1640 A. Kaabi where α and β are two vectors in IR m. The following propositions and theorem have proved in [8]. Proposition 1. If the global Arnoldi algorithm does not before the mth step, then the block system {V 1,..., V m } is an F-orthogonal basis of the matrix Krylov subspace K m (A, V 1 ). Proposition 2. Let V m =[V 1,..., V m ] where the n n matrices V i,i=1,..., m are defined by the global Arnoldi algorithm. Then we have V m α F = α 2, (5) where α IR m. Theorem 1 Let V m,h m and H m as defined before, then using the product, the following relations hold: AV m = V m H m + Z m+1, (6) where Z m+1 = h m+1,m [0 n n,..., 0 n n,v m+1 ], and AV m = V m+1 H m. (7) In [8], Jbilou et al. proposed the global FOM and GMRES algorithms, which are based on Algorithm 1, for solving linear system with multiple right hand sides. In this paper we use this idea for proposing two global methods for solving large algebraic Riccati matrix equations. 3 Theoretical Description of Global FOM-Riccati- Like (GFRL) Algorithm. As in [8], we define the operator T: IR n n IR n n, X T(X) =A T X + XA XBB T X. Hence Eq(1) can be expressed as T(X) = CC T. (8)

On solving large algebraic Riccati matrix equations 1641 In this section we proposed a new method for the computation of approximate solution to (8). This method is based on modified global Arnoldi algorithm. Given an initial guess X 0 and the corresponding residual R 0 = CC T T(X 0 ), the (GFRL) seeks an approximate solution X m from the affine subspace X 0 + K m (T,R 0 ) of dimension m by imposing the Galerkin condition R m = CC T T(X m ) F K m (T,R 0 ). (9) Here note that T k (R 0 ) is defined recursively as T(T (k 1) R 0 ). Now we recall the following proposition. Proposition 3. Let T be the operator described before and assume, That R 0 is of full rank. Then K m (T,R 0 )=K m (A T,R 0 ). Proof. See [8]. From this proposition and by the fact that X m X 0 + K m (T,R 0 ), it is easily seen that X m X 0 = Z m K m (A T,R 0 ), (10) and Relation (10) implies that R m = CC T T(X m ) F K m (A T,R 0 ). (11) X m = X 0 + V m y m for some y m IR m. Hence from the orthogonality relation (11) we have <R 0 A T (V m y m ) (V m y m )A+(V m y m )BB T (V m y m ),V i > F =0, i =1,..., m, (12) or m <A T V j +V j A V j B T BV j y m (j),v i > F y m (j) =< R 0,V i > F, i =1,..., m. (13) j=1

1642 A. Kaabi where y m =(y m (1),..., y(m) m )T. Now, if we let V 1 = R 0 / R 0 F, then it can be easily seen that the relation (13) is equivalent to the following system: (H T m + P m m k=1 y (k) m L(k) m )y m = R 0 F e 1 (14) where e 1 is the first canonical basis vector in IR m and H m is obtained by modified global Arnoldi algorithm and the entries of matrix P m is obtained by the following p i,j =<V j A, V i > F i, j =1,..., m. Also the entries of matrices L (k) m,k=1,..., m is obtained by the following l (k) i,j =< V k BB T V j,v i > F i, j =1,..., m, k =1,..., m. Thus, by These relations we can define the GFRL algorithm summarized as follows. Algorithm 2. Restarted global FOM Riccati-like algorithm (GFRL) for the solution of (1) 1. Choose an initial approximate solution X 0 and a tolerance ɛ. 2. Compute R 0 = A T X 0 + X 0 A X 0 BB T X 0 + CC T and V 1 = R 0 / R 0 F. 3. If R 0 F <ɛthen exit. 4. For j=1,...,m apply Algorithm 1 to compute the F- Orthonormal basis V 1,V 2,..., V m of K m (A T,R 0 ). 5. Define the m m matrices L m (k) and P m with l (k) i,j =< V k BB T V j,v i > F, p i,j =<V i B,V j > F, i,j,k =1,..., m, entries. 6. Solve (H m + P m m k=1 y m (k) L(k) m )y m = R 0 F e 1 for y m. 7. Compute X m = X 0 + m y m, and set X 0 = X m. 8. Go to 2. As FOM algorithm, GFRL is impractical when m is large because the of the growth of memory and computational requirements as m increases. One way to overcome this problem is to restart the Algorithm GFRL every m iterations. In the GFRL algorithm a nonlinear system of dimension m should be solved.

On solving large algebraic Riccati matrix equations 1643 4 Conclusion. We have presented global FOM Riccati-like algorithm for solving large scale Riccati matrix equations. The algorithm use the global Arnoldi process to generate F-Orthonormal bases of certain Krylov subspaces and reduce the Riccati matrix equations to a small nonlinear system. Thus, the computer storage and arithmetic work required are reduced. References [1] B. D. O. Anderson, J. B. Moore, Linear Optimal control, Prentice- Hall, Englewood Cliffs, Nj, 1971. [2] A. C. Antoulas. Approximation of large-scale Dynamical Systems. Advances in Design and Control. SIAM, Philadelphia, 2005. [3] P. Benner, R. Byers, An exact line search method for solving generalized continuous algebraic Riccati equations, IEEE Trans. Automat. Control 43(1) (1998) 101-107. [4] B. N. Datta and K.Datta, Theoretical and computationalaspects of some linear algebra problems in control theory, in Computational and Combinatorical Methods in Systems Theory (C. I. Byrnes and A. Lindquist,Eds.), Elsevier, Amsterdam,1986,pp. 201-212 [5] J. C. Doyle, K. Glover, P. P. Khargonekar, B. A. Francis, State-space solution to standard H 2 and H control problems, IEEE Trans. Automat. Control 34(8) (1989) 831-864. [6] K. Jbilou, An Arnoldi based algorithm for large algebraic Riccati equations, Appl. Math. Lett. 19 (2006) 437-444. [7] K. Jbilou, Block Krylov subspace methods for large algebraic Riccati equations Numer. Algorithms 34 (2003) 339-353. [8] K. Jbilou, A. Messaoudi, H. Sadok, Global FOM and GMRES algorithms for matrix equations, Appl. Numer. Math. 31 (1999) 97-109.

1644 A. Kaabi [9] P. Lancaster, L. Rodman, The Algebraic Riccati Equations, Clarendon Press, Oxford, 1995. [10] P. Van Dooren, A generalized eigenvalue approach for solving Riccati equations, SIAM J. Sci. Statist. Comput. 2 (1981) 121-135. Received: January, 2010