Convergence analysis of the extended Krylov subspace method for the Lyapunov equation |
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Authors: | L. Knizhnerman V. Simoncini |
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Affiliation: | 1.Central Geophysical Expedition,Moscow,Russia;2.Dipartimento di Matematica, CIRSA, Università di Bologna,Bologna,Italy |
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Abstract: | The extended Krylov subspace method has recently arisen as a competitive method for solving large-scale Lyapunov equations. Using the theoretical framework of orthogonal rational functions, in this paper we provide a general a priori error estimate when the known term has rank-one. Special cases, such as symmetric coefficient matrix, are also treated. Numerical experiments confirm the proved theoretical assertions. |
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