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Krylov subspace methods of Hessenberg based for algebraic Riccati equation
Minhua Yin,Yajun Xie,Limin Ren
Keywords:Continuous algebraic Riccati equation (CARE); Krylov subspace method; Hessenberg-based method; Pivoting strategy; Petrov-Galerkin condition.
Abstract:
      In this paper, we proposed a class of special Krylov subspace methods to solve continuous algebraic Riccati equation (CARE), i.e., the Hessenberg-based methods. The presented approachs can obtain efficiently the solution of algebraic Riccati equation to some extent. The main idea is to apply Kleinman-Newton's method to transform the process of solving algebraic Riccati equation into Lyapunov equation at every inner iteration. Further, the Hessenberg process of pivoting strategy combined with Petrov-Galerkin condition and minimal norm condition is discussed for solving the Lyapunov equation in detail, then we get two methods, namely global generalized Hessenberg (GHESS) and changing minimal residual methods based on the Hessenberg process (CMRH) for solving CARE, respectively. Numerical experiments illustrate that the efficiency of the provided methods.