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In this paper we show how to compute recursively an approximation of the left and right dominant singular subspaces of a given matrix. In order to perform as few as possible operations on each column of the matrix, we use a variant of the classical Gram–Schmidt algorithm to estimate this subspace. The method is shown to be particularly suited for matrices(More)
We describe an algorithm for estimating the H ∞-norm of a large linear time invariant dynamical system described by a discrete time state-space model. The algorithm uses Chandrasekhar iterations to obtain an estimate of the H ∞-norm and then uses extrapolation to improve these estimates. Résumé. Nous décrivons un algorithme pour estimer la norme H ∞ d'un(More)
In this paper, we construct a global optimization algorithm to compute the H ∞ norm of the transfer matrix of linear dynamic system. The algorithm takes the benefit of the fact that the generalized eigenvalue problem with Hamiltonian or symplectic structure not only gives a finite number of sets of subintervals of real axis among which the global maximum of(More)