Implementation and numerical results / Peter Benner, Vasile Sima, Matthias Voigt

Abstract

Abstract: Skew-Hamiltonian/Hamiltonian matrix pencils λS - H appear in many applications, including linear quadratic optimal control problems, H∞-optimization, certain multi-body systems and many other areas in applied mathematics, physics, and chemistry. In these applications it is necessary to compute certain eigenvalues and/or corresponding deflating subspaces of these matrix pencils. Recently developed methods exploit and preserve the skew-Hamiltonian/Hamiltonian structure and hence increase reliability, accuracy and performance of the computations. In this paper we describe the implementation of the algorithms in the style of subroutine included in the Subroutine Library in Control Theory (SLICOT) described in Part I of this work and address various details. Furthermore, we perform numerical tests using real-world examples to demonstrate the superiority of the new algorithms compared to standard methods.