Direct methods for matrix Sylvester and Lyapunov equations. (English) Zbl 1028.65039

Sorensen, Danny C.; Zhou, Yunkai

J. Appl. Math. 2003, No. 6, 277-303 (2003).

Summary: We revisit the two standard dense methods for matrix Sylvester and Lyapunov equations: the R. H. Bartels and G. W. Stewart [Commun. ACM 15, No. 9, 820–826 (1972; Zbl 1372.65121)] method for \(\mathbf{A}_{1}\mathbf{X}+ \mathbf{XA}_{2}+\mathbf{D}=\mathbf{0}\) and S. J. Hammarling’s method [IMA J. Numer. Anal. 2, 303-323 (1982; Zbl 0492.65017)] for \(\mathbf{AX}+\mathbf{XA}^{T}+\mathbf{BB}^{T}=\mathbf{0}\) with \(\mathbf{A}\) stable. We construct three schemes for solving the unitarily reduced quasitriangular systems. We also construct a new rank-1 updating scheme in Hammarling’s method. This new scheme is able to accommodate a \(\mathbf{B}\) with more columns than rows as well as the usual case of a \(\mathbf{B}\) with more rows than columns, while Hammarling’s original scheme needs to separate these two cases.
We compared all of our schemes with the Matlab Sylvester and Lyapunov solver \(lyap.m\); the results show that our schemes are much more efficient. We also compare our schemes with the Lyapunov solver sllyap in the currently possibly the most efficient control library package SLICOT; numerical results show our scheme to be competitive.

MSC:

65F30	Other matrix algorithms (MSC2010)
15A24	Matrix equations and identities

Keywords:

matrix Sylvester equation; matrix Lyapunov equation; comparison of methods; quasitriangular systems; rank-1 updating scheme; numerical results

Citations:

Zbl 0492.65017; Zbl 1372.65121

Software:

mctoolbox; SLICOT; LAPACK; Lyap; Matlab