A Hamiltonian structure-preserving Lanczos-type method, named the J-Lanczos algorithm, is introduced for solving large sparse Hamiltonian eigenvalue problem which arises in both continuous-time and discrete-time optimal control applications. Shift and invert techniques are incorporated to approximate all stable eigenvalues and the associated invariant subspace. Numerical results for solving high order continuous-time Riccati equation arising from position and velocity control for a string of high speed vehicles are presented.
|Number of pages||6|
|Journal||Proceedings of the IEEE Conference on Decision and Control|
|State||Published - 1 Dec 1997|
|Event||Proceedings of the 1997 36th IEEE Conference on Decision and Control. Part 1 (of 5) - San Diego, CA, USA|
Duration: 10 Dec 1997 → 12 Dec 1997