AN EXTENDED BLOCK ARNOLDI ALGORITHM FOR LARGE-SCALE SOLUTIONS OF THE CONTINUOUS-TIME ALGEBRAIC RICCATI EQUATI ON ∗

Abstract

We present a new iterative method for the computation of approximate solutions to large-scale continuous-time algebraic Riccati equations. The proposed method is a projection method onto an extended block Krylov subspace, which can be seen as a sum of two block Krylov subspaces in A and A 1 . We give some the- oretical results and present numerical experiments for large and sparse problems. These numerical tests show the efficiency of the proposed scheme as compared to the block Arn oldi and Newton-ADI methods.