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Petkov, P. Hr. [Author]; Konstantinov, M. M. [Author]; Mehrmann, V. [Author]

DGRSVX and DMSRIC: Fortran 77 subroutines for solving continuous-time matrix algebraic Riccati equations with condition and accuracy estimates

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  • Media type: Preprint
  • Title: DGRSVX and DMSRIC: Fortran 77 subroutines for solving continuous-time matrix algebraic Riccati equations with condition and accuracy estimates
  • Contributor: Petkov, P. Hr. [Author]; Konstantinov, M. M. [Author]; Mehrmann, V. [Author]
  • Published: Chemnitz: Technische Universität Chemnitz, [2005]
  • Language: English
  • ISSN: 1619-7186
  • Keywords: LAPACK ; matrix sign function method ; FORTRAN-Programm ; Schur method ; Algebraische Riccati-Gleichung
  • Origination:
  • Footnote: Quelle: Preprintreihe des Chemnitzer SFB 393, 98-16
  • Description: We present new Fortran 77 subroutines which implement the Schur method and the matrix sign function method for the solution of the continuous­time matrix algebraic Riccati equation on the basis of LAPACK subroutines. In order to avoid some of the well­known difficulties with these methods due to a loss of accuracy, we combine the implementations with block scalings as well as condition estimates and forward error estimates. Results of numerical experiments comparing the performance of both methods for more than one hundred well­ and ill­conditioned Riccati equations of order up to 150 are given. It is demonstrated that there exist several classes of examples for which the matrix sign function approach performs more reliably and more accurately than the Schur method. In all cases the forward error estimates allow to obtain a reliable bound on the accuracy of the computed solution.