An iterative decoupling solution method for large scale Lyapunov equations

Abstract

A great deal of attention has been given to the numerical solution of the Lyapunov equation. A useful classification of the variety of solution techniques are the groupings of direct, transformation, and iterative methods. The paper summarizes those methods that are at least partly favorable numerically, giving special attention to two criteria: exploitation of a general sparse system matrix structure and efficiency in resolving the governing linear matrix equation for different matrices. An iterative decoupling solution method is proposed as a promising approach for solving large-scale Lyapunov equation when the system matrix exhibits a general sparse structure. A Fortran computer program that realizes the iterative decoupling algorithm is also discussed.