## RADI: a low-rank ADI-type algorithm for large scale algebraic Riccati equations

- Peter Benner, Zvonimir Bujanovic, Patrick Kürschner, Jens Saak
- Numerische Mathematik
- 2018

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@article{Wong2005QuadraticAD, title={Quadratic alternating direction implicit iteration for the fast solution of algebraic Riccati equations}, author={Ngai Wong and Venkataramanan Balakrishnan}, journal={2005 International Symposium on Intelligent Signal Processing and Communication Systems}, year={2005}, pages={373-376} }

- Published 2005 in 2005 International Symposium on Intelligent…

Algebraic 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… CONTINUE READING

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