研究生: |
蔣俊岳 Chun-Yueh Chiang |
---|---|
論文名稱: |
非線性矩陣方程之保結構算法的收斂性分析 Convergence Analysis of the Structure-Preserving Doubling Algorithms for Nonlinear Matrix Equations |
指導教授: |
林文偉
Wen-Wein Lin |
口試委員: | |
學位類別: |
博士 Doctor |
系所名稱: |
理學院 - 數學系 Department of Mathematics |
論文出版年: | 2008 |
畢業學年度: | 96 |
語文別: | 英文 |
論文頁數: | 119 |
中文關鍵詞: | 非線性矩陣方程 、最小非負解 、最大正定解 、臨界條件 、保結構 、平方算法 |
外文關鍵詞: | nonlinear matrix equation, minimal nonnegative solution, maximal positive definite solution, critical case, structure preserving, doubling algorithm |
相關次數: | 點閱:1 下載:0 |
分享至: |
查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
In this dissertation, we review two types of structure-preserving doubling algorithm (SDA) and some techniques for analyzing them. We then use the techniques to study the doubling algorithm for four different nonlinear matrix equations in the critical case. We show that the convergence of the doubling algorithm is at least linear
with rate 1/2. As compared to earlier work on this topic,
the results we present here are more general, and the analysis here is much simpler. Some numerical experiments show that the SDA algorithm is feasible and effective, outperforms other iteration methods.
在本篇論文中,我們回顧了兩種型式的保結構算法, 我們只利用了一些基本的矩陣定理跟技術, 去分析這兩種保結構算法在4大類非線性矩陣方程的收斂行為, 特別在某種奇異的條件下, 我們證明了保結構算法的收斂行為是速率至少1/2的線性收斂. 跟以往的方法比較, 我們的結果更為廣泛、 限制條件更少、以及證明手法更為簡單; 透過數值實驗更可看出保結構算法比其他方法更有效率, 以及更合適的應用在這些矩陣方程。
References
[1] B. Anderson, Second-order convergent algorithms for the steady-state
Riccati equation, Int. J. Control, 28 (1978), pp. 295--306.
[2] W. N. Anderson, T. D. Morley, and G. E. Trapp, Positive solutions to
X = A-BX^{-1}B^\ast Lin. Alg. Appl., 134 (1990), pp. 53--62.
[3] Z. Z. Bai, A class of iteration methods based on the Moser formula for
nonlinear equations in Markov chains, Lin. Alg. Appl., 266 (1997),
pp. 219{241.
[4] M. Barlow, L. Rogers, and D. Williams, Wiener-Hopf factorization for
matrices, in Seminaire de probabilites XIV, no. 784 in Lecture Notes
in Computer Science, Springer-Verlag, 1980, pp. 324--331.
[5] R. Bartels and G. Stewart, Solution of the matrix equation AX+XB=C,
ACM, 15 (1972), pp. 820--826.
[6] M. S. Bazaraa, H. D. Sherall, and C. M. Shetty, Nonlinear Programming, John Wiley, 1993.
[7] P. Benner, Contributions to the numerical solutions of algebraic Riccati
equations and related eigenvalue problems, PhD Dissertation, Fakultat
fur Mathematik, TU Chemnitz-Zwickau, Chemnitz, Germany, 1997.
[8] P. Benner and R. Byers, Evaluating products of matrix pencils and collapsing matrix products, Num. Lin. Alg. Appl., 8 (2001), pp. 357--380.
[9] P. Benner, A. J. Laub, and V. Mehrmann, A collection of benchmark examples for the numerical solution of algebraic Riccati equations II:Discrete-time case, Tech. Rep. SPC 95 23, Fakultat fur Mathematik, TU Chemnitz-Zwickau, 09107 Chemnitz, FRG, 1995. Available from http://www.tu-chemnitz.de/sfb393/spc95pr.html.
[10] A. Berman and R. Plemmons, Nonnegative matrices in the Mathematical Sciences, Academic Press, 1979.
[11] D. A. Bini, B. Iannazzo, G. Latouche, and B. Meini, On the solution of algebraic Riccati equations arising in fluid queues, Lin. Alg. Appl., 413 (2006), pp. 474--494.
[12] D. A. Bini, G. Latouche, and B. Meini, Numerical Methods for Structured Markov Chains, Oxford University Press, 2005.
[13] E. K.-W. Chu, H.-Y. Fan, and W.-W. Lin, Structure-preserving algorithms for periodic discrete-time algebraic Riccati equations, Int. J.Control, 77 (2004), pp. 767--788.
[14] E. K.-W. Chu, H.-Y. Fan, and W.-W. Lin, Structure-preserving algorithms for continuous-time algebraic Riccati equations, Lin. Alg.Appl., 396 (2005), pp. 55--80.
[15] E.-W. Chu, T.-M. Huang, W.-W. Lin, and S.-F. Xu, On A Doubling Algorithm for The Nonlinear Matrix Equation X+A^\topX^{-1}A = Q When \rho(X^{-1}A)=1, tech. rep., NCTS Preprints in Mathematics 200611003,2006.
[16] P. V. Dooren, A generalized eigenvalue approach for solving Riccati equations, SIAM J. Sci. Comput., 2 (1981), pp. 121--135.
[17] A. Emami-Naeini and G. Franklin, Comments on the numerical solution of the discrete-time algebraic Riccati equation, IEEE Trans. Auto. Control, (1980), pp. 1015--1016.
[18] J. C. Engwerda, On the existence of a positive definite solution of the matrix equation X+A^\topX^{-1}A = I, Lin. Alg. Appl., 194 (1993), pp. 91--108.
[19] J. C. Engwerda, A. C. M. Ran, and A. L. Rijkeboer, Necessary and sufficient conditions for the existence of a positive definite solution of the matrix equation X + A^\top X^{-1}A = Q, Lin. Alg. Appl., 186 (1993), pp. 255--274.
[20] P. Favati and B. Meini, On functional iteration methods for solving nonlinear matrix equations arising in queueing problems, IMA J. Numer. Anal., 19 (1999), pp. 39--49.
[21] H. R. Gail, S. L. Hantler, and B. A. Taylor, Spectral analysis of M/G/1 and G/M/1 type Markov chains, Adv. Appl. Probab, 28 (1996), pp. 114--165.
[22] F. R. Gantmacher, The theory of matrices, Vol. II, Chelsea Publishing Company, New York, 1977.
[23] C.-H. Guo, Newton's method for discrete algebraic Riccati equations with the closed-loop matrix has eigenvalues on the unit circle, SIAM J. Matrix Analy. Appl., 20 (1998), pp. 279--294.
[24] C.-H. Guo, On the numerical solution of a nonlinear matrix equation in Markov chains, Lin. Alg. Appl., 288 (1999), pp. 175--186.
[25] C.-H. Guo, Convergence rate of an iterative method for a nonlinear matrix equation, SIAM J. Matrix Anal. Appl., 23 (2001).
[26] C.-H. Guo, Nonsymmetric algebraic Riccati equations and Wiener-Hopf factorization for M-matrices, SIAM J. Matrix Analy. Appl., 23 (2001), pp. 225--242.
[27] C.-H. Guo, Convergence analysis of the Latouche-Ramaswami algorithm for null recurrent quasi-birth-death processes, SIAM J. Matrix Analy. Appl., 23 (2002), pp. 744--760.
[28] C.-H. Guo, Comments on a shifted cyclic reduction algorithm for quasi birth-death problems, SIAM J. Matrix Analy. Appl., 24 (2003), pp. 1161--1166.
[29] C.-H. Guo, Numerical solution of a quadratic eigenvalue problem, Lin.Alg. Appl., 385 (2004), pp. 391--406.
[30] C.-H. Guo, Effient methods for solving a nonsymmetric algebraic Riccati equation arising in stochastic fluid models, J. Comput. Appl.Math., 192 (2006), pp. 353--373.
[31] C.-H. Guo and N. J. Higham, Iterative solution of a nonsymmetric algebraic Riccati equation, SIAM J. Matrix Analy. Appl., 29 (2007), pp. 396--412.
[32] C.-H. Guo, B. Iannazzo, and B. Meini, On the doubling algorithm for a (shifted) nonsymmetric algebraic Riccati equation, SIAM J. Matrix Analy. Appl., 29 (2007), pp. 1083--1100.
[33] C.-H. Guo and P. Lancaster, Iterative solution of two matrix equations, Math. Comp., 68 (1999), pp. 1589--1603.
[34] C.-H. Guo and P. Lancaster, Algorithms for hyperbolic quadratic eigenvalue problems, Math. Comp., 74 (2005), pp. 1777--1791.
[35] C.-H. Guo and A. Laub, On the iterative solution of a class of nonsymmetric algebraic Riccati equations, SIAM J. Matrix Analy. Appl., 22 (2000), pp. 376--391.
[36] X.-X. Guo, W.-W. Lin, and S.-F. Xu, A structure-preserving doubling algorithm for nonsymmetric algebraic Riccati equation, Numer. math., 103 (2006), pp. 393--412.
[37] C. He, B. Meini, and N. H. Rhee, A shifted cyclic reduction algorithm for quasi-birth-death problems., SIAM J. Matrix Analy. Appl., 23 (2001), pp. 673--691.
[38] N. J. Higham, Newton's method for the matrix square root, Math. Comp., 46 (1986), pp. 537--549.
[39] N. J. Higham, Accuracy and Stability of Numerical Algorithms, SIAM, Philadelphia, PA, 1996.
[40] N. J. Higham, Stability of the diagonal pivoting method with partial pivoting, SIAM J. Matrix Analy. Appl., 18 (1997), pp. 52--65.
[41] R. A. Horn and C. R. Johnson, Matrix analysis, Cambridge University Press, 1985.
[42] T.-M. Huang, E. K.-W. Chu, and W.-W. Lin, A generalized structure-preserving doubling algorithm for generalized discrete-time algebraic Riccati equations, Int. J. Control, 78 (2005), pp. 1063--1075.
[43] T.-M. Huang and W.-W. Lin, Structured doubling algorithms for weakly stabilizing Hermitian solutions of algebraic Riccati equations, To appear in Lin. Alg. Appl., 2007.
[44] V. Ionescu and M. Weiss, On comupting the stabilizing solution of the discrete-time Riccati equation, Lin. Alg. Appl., 174 (1992), pp. 229--238.
[45] I. G. Ivanov, Properties of Stein (Lyapunov) iterations for solving a general Riccati equation, Nonlinear Analysis, 67 (2007), pp. 1155--1166.
[46] J. Juang, Existence of algebraic matrix Riccati equations arising in transport theory., Lin. Alg. Appl., 230 (1995), pp. 89--100.
[47] J. Juang and W.-W. Lin, Nonsymmetric algebraic Riccati equations and Hamiltonian-like matrices, SIAM J. Matrix Analy. Appl., 20 (1998), pp. 228--243.
[48] P. Lancaster and L. Rodman, Algebraic Riccati Equations, Clarendon Press, Oxford, 1995.
[49] G. Latouche, Newton's iteration for non-linear equations in Markov chains, IMA J. Numer. Anal., 14 (1994), pp. 583--598.
[50] G. Latouche and V. Ramaswami, A logarithmic reduction algorithm for quasi-birth-death processes, J. Appl. Probab., 30 (1993), pp. 650--674.
[51] G. Latouche and V. Ramaswami, Introduction to Matrix Analytic Methods in Stochastic Modeling, SIAM, Philadelphia, 1999.
[52] W.-W. Lin, V. Mehrmann, and H. Xu, Canonical forms for Hamiltonian and symplectic matrices and pencils, Lin. Alg. Appl., 302 (1999).
[53] W.-W. Lin and C.-S. Wang, On computing stable Largangian subspaces of Hamiltonian matrices and symplectic pencils, SIAM J. Matrix Anal. Appl., 18 (1997), pp. 590--614.
[54] W. W. Lin and S. F. Xu, Existence and comparison theorems for algebraic Riccati equations for continuous and discrete-time systems, Lin. Alg. Appl., 99 (1988), pp. 68--83.
[55] W. W. Lin and S. F. Xu, Convergence analysis of structure-preserving doubling algorithms for Riccati-type matrix equationss, SIAM J. Matrix Analy. Appl., 28 (2006), pp. 26--39.
[56] A. N. Malyshev, Parallel algorithm for solving some spectral problems of linear algebra, Lin. Alg. Appl., (1993), pp. 489--520.
[57] MathWorks, MATLAB user's guide (for UNIX Workstations),
The Math Works, Inc., 2002.
[58] V. Mehrmann, The Autonomous Linear Quadratic Control Problem, Springer-Verlag, 1991.
[59] V. Mehrmann, A step toward aunified treatment of continuous and discrete time control problems, Lin. Alg. Appl., 241 (1996).
[60] B. Meini, New convergence results on functional iteration techniques for the numerical solution of M/G/1 type Markov chains, Numer. Math., 78 (1997), pp. 39--58.
[61] B. Meini, Efficient computation of the extreme solutions of X +A^\astX^{-1}A = Q and X-A ^\astX^{-1}A= Q, Math. Comp., 71 (2002), pp. 1189--1204.
[62] M. F. Neuts, Moment formulas for the Markov renewal branching process, Adv. in Appl. Probab., 8 (1976), pp. 690--711.
[63] J. M. Ortega and W. C. Rheinboldt, Iterative solution of Nolinear equations in Sereval Variables, Academic Press, New York, 1970.
[64] V. Ramaswami, Matrix analytic methods for stochastic fluid flows, in Proceedings of the 16th International Teletraffic Congress, Elsevier Science B. V., Edinburgh, 1999, pp. 1019--1030.
[65] M. A. Rami and X. Y. Zhou, Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls, IEEE TransAC, 45 (2000), pp. 1131--1143.
[66] A. C. M. Ran and R. Vreugdenhxl, A martingale approach to some Wiener-Hopf problems II, in Seminaire de Probabilites XIV, no. 920 in Lecture Notes in Computer Science, Springer-Verlag, 1982, pp. 68--90.
[67] L. Rogers, Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains, Ann. Appl. Probab., 4 (1994), pp. 390--413.
[68] L. Rogers and Z. Shi, Computing the invariant law of a fluid model, J. Appl. Probab., 31 (1994), pp. 885--896.
[69] G. W. Stewart and J.-G. Sun, Matrix Perturbation Theory, Academic Press, 1990.
[70] J.-G. Sun, Sensitivity of the discrete-time algebraic Riccati equation, Lin. Alg. Appl., 255-256 (1998), pp. 595--615.
[71] J.-G. Sun and S.-F. Xu, Perturbation analysis of the maximal solution of the matrix equation X + A^\topX^{-1}A = P, II, Lin. Alg. Appl., 362 (2003), pp. 211--228.
[72] R. Varga, Matrix iterative analysis, Prentice-Hall, 1992.
[73] D. Williams, ''potential-theoretic" note on the quadratic Wiener-Hopf equation for Q-matrices., in Seminaire de probabilites XIV, no. 920 in Lecture Notes in Computer Science, Springer-Verlag, 1982, pp. 91--94.
[74] S. Xu, Numerical methods for the maximal solution of the matrix equation X + A^\topX^{-1}A = I, Acta Scientiarum Naturalium Universitatis Pekinensis, 36 (2000), pp. 29--38.
[75] X. Zhan, Computing the extremal positive definite soluions of a matrix equation, SIAM J. Sci. Comput., 17 (1996), pp. 1167--1174.
[76] Z. Zhan and J. Xie, On the matrix equation X + A^\topX^{-1}A = I, Lin. Alg. Appl., 247 (1996), pp. 337--345.