Publication

Block variants of Hammarling's method for solving Lyapunov equations

Daniel Kressner
2008
Journal paper

Abstract

This article is concerned with the efficient numerical solution of the Lyapunov equation A(T) X + XA = -C with a stable matrix A and a symmetric positive semidefinite matrix C of possibly small rank. We discuss the efficient implementation of Hammarling's method and propose among other algorithmic improvements a block variant, which is demonstrated to perform significantly better than existing implementations. An extension to the discrete-time Lyapunov equation A(T) XA - X = - C is also described.

Official source

https://infoscience.epfl.ch/record/165579?ln=en

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Block variants of Hammarling's method for solving Lyapunov equations

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