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Conference Paper: Quadratic alternating direction implicit iteration for the fast solution of algebraic Riccati equations

TitleQuadratic alternating direction implicit iteration for the fast solution of algebraic Riccati equations
Authors
Wong, NBalakrishnan, V
Issue Date2005
PublisherIEEE.
Citation
2005 International Symposium on Intelligent Signal Processing and Communication Systems (ISPACS 2005), Hong Kong, 13-16 December 2005. In 2005 International Symposium on Intelligent Signal Processing and Communication Systems, 2005, p. 373-376 How to Cite?
DOI: http://dx.doi.org/10.1109/ISPACS.2005.1595424
AbstractAlgebraic Riccati equations (AREs) spread over many branches of signal processing and system design problems. Solution of large scale AREs, however, can be computationally prohibitive. This paper introduces a novel second order extension to the alternating direction implicit (ADI) iteration, called quadratic ADI or QADI, for the efficient solution of an ARE. QADI is simple to code and exhibits fast convergence. A Cholesky factor variant of QADI, called CFQADI, further accelerates computation by exploiting low rank matrices commonly found in physical system modeling. Application examples show remarkable efficiency and scalability of the QADI algorithms over conventional ARE solvers. © 2005 IEEE.
Persistent Identifierhttp://hdl.handle.net/10722/54056
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorWong, Nen_HK
dc.contributor.authorBalakrishnan, Ven_HK
dc.date.accessioned2009-04-03T07:35:36Z-
dc.date.available2009-04-03T07:35:36Z-
dc.date.issued2005en_HK
dc.identifier.citation2005 International Symposium on Intelligent Signal Processing and Communication Systems (ISPACS 2005), Hong Kong, 13-16 December 2005. In 2005 International Symposium on Intelligent Signal Processing and Communication Systems, 2005, p. 373-376en_HK
dc.identifier.urihttp://hdl.handle.net/10722/54056-
dc.description.abstractAlgebraic Riccati equations (AREs) spread over many branches of signal processing and system design problems. Solution of large scale AREs, however, can be computationally prohibitive. This paper introduces a novel second order extension to the alternating direction implicit (ADI) iteration, called quadratic ADI or QADI, for the efficient solution of an ARE. QADI is simple to code and exhibits fast convergence. A Cholesky factor variant of QADI, called CFQADI, further accelerates computation by exploiting low rank matrices commonly found in physical system modeling. Application examples show remarkable efficiency and scalability of the QADI algorithms over conventional ARE solvers. © 2005 IEEE.en_HK
dc.languageengen_HK
dc.publisherIEEE.en_HK
dc.relation.ispartof2005 International Symposium on Intelligent Signal Processing and Communication Systemsen_HK
dc.rights©2005 IEEE. Personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution to servers or lists, or to reuse any copyrighted component of this work in other works must be obtained from the IEEE.-
dc.titleQuadratic alternating direction implicit iteration for the fast solution of algebraic Riccati equationsen_HK
dc.typeConference_Paperen_HK
dc.identifier.emailWong, N:nwong@eee.hku.hken_HK
dc.identifier.authorityWong, N=rp00190en_HK
dc.description.naturepublished_or_final_versionen_HK
dc.identifier.doi10.1109/ISPACS.2005.1595424-
dc.identifier.scopuseid_2-s2.0-33847223117en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-33847223117&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume2005en_HK
dc.identifier.spage373en_HK
dc.identifier.epage376en_HK
dc.identifier.scopusauthoridWong, N=35235551600en_HK
dc.identifier.scopusauthoridBalakrishnan, V=7102659847en_HK

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