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Published in:
2006 | OriginalPaper | Chapter
Parallel Solution of Large-Scale and Sparse Generalized Algebraic Riccati Equations
Authors : José M. Badía, Peter Benner, Rafael Mayo, Enrique S. Quintana-Ortí
Published in: Euro-Par 2006 Parallel Processing
Publisher: Springer Berlin Heidelberg
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We discuss a parallel algorithm for the solution of large-scale generalized algebraic Riccati equations with dimension up to
$\mathcal{O}(10^5)$
. We survey the numerical algorithms underlying the implementation of the method, in particular, a Newton-type iterative solver for the generalized Riccati equation and an LR-ADI solver for the generalized Lyapunov equation. Experimental results on a cluster of Intel Xeon processors illustrate the benefits of our approach.