Geodesic
Self-generating and efficient shift parameters in ADI methods for large Lyapunov and Sylvester equations
Electronic transactions on numerical analysis, Tome 43 (2015).

Voir la notice de l'article provenant de la source Electronic Library of Mathematics

Summary: Low-rank versions of the alternating direction implicit (ADI) iteration are popular and well established methods for the numerical solution of large-scale Sylvester and Lyapunov equations. Probably the biggest disadvantage of these methods is their dependence on a set of shift parameters that are crucial for fast convergence. Here we firstly review existing shift generation strategies that compute a number of shifts before the actual iteration. These approaches come with several disadvantages such as, e.g., expensive numerical computations and the difficulty to obtain necessary spectral information or data needed to initially setup their generation. Secondly, we propose two novel shift selection strategies with the motivation to resolve these issues at least partially. Both approaches generate shifts automatically in the course of the ADI iterations. Extensive numerical tests show that one of these new approaches, based on a Galerkin projection onto the space spanned by the current ADI data, is superior to other approaches in the majority of cases both in terms of convergence speed and required execution time.
Classification : 65F10, 65F30, 15A06
Keywords: Lyapunov equation, Sylvester equation, alternating directions implicit, shift parameters 
@article{ETNA_2015__43__a3,
     author = {Benner, Peter and K\"urschner, Patrick and Saak, Jens},
     title = {Self-generating and efficient shift parameters in {ADI} methods for large {Lyapunov} and {Sylvester} equations},
     journal = {Electronic transactions on numerical analysis},
     publisher = {mathdoc},
     volume = {43},
     year = {2015},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/ETNA_2015__43__a3/}
}
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Benner, Peter; Kürschner, Patrick; Saak, Jens. Self-generating and efficient shift parameters in ADI methods for large Lyapunov and Sylvester equations. Electronic transactions on numerical analysis, Tome 43 (2015). http://geodesic.mathdoc.fr/item/ETNA_2015__43__a3/