A structure-preserving Lanczos-type algorithm with application to control problems

A Hamiltonian structure-preserving Lanczos-type method, named the J-Lanczos algorithm, is introduced for solving large sparse Hamiltonian eigenvalues problem which arises in both continuous-time and discrete-time optimal control applications. Shift and invert techniques are incorporated to approxima...

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Hauptverfasser: Ferng, W.R., Wen-Wei Lin, Chern-Shuh Wang
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Wen-Wei Lin
Chern-Shuh Wang
description A Hamiltonian structure-preserving Lanczos-type method, named the J-Lanczos algorithm, is introduced for solving large sparse Hamiltonian eigenvalues problem which arises in both continuous-time and discrete-time optimal control applications. Shift and invert techniques are incorporated to approximate all stable eigenvalues and the associated invariant subspace. Numerical results for solving high order continuous-time Riccati equation arising from position and velocity control for a string of high speed vehicles are presented.
doi_str_mv 10.1109/CDC.1997.652463
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subjects Control theory
Cost function
Eigenvalues and eigenfunctions
Feedback
Kernel
Mathematics
Optimal control
Riccati equations
Sparse matrices
Strontium
title A structure-preserving Lanczos-type algorithm with application to control problems
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