Approximating Real Stability Radii

Applied and Computational Mathematics Seminar
Monday, September 29, 2014 - 14:00
1 hour (actually 50 minutes)
Skiles 005
Georgia Tech Mathematics
The distance of a nxn stable matrix to the set of unstable matrices, the so-called distance to instability, is a well-known measure of linear dynamical system stability. Existing techniques compute this quantity accurately but the cost is of the order of multiple SVDs of order n, which makes the method suitable to middle size problems. A new approach is presented,  based on Newton's iteration applied to  pseudospectral abscissa, whose implementation is obtained by discretization on differential equation for low-rank matrices, particularly suited for large sparse matrices.