Extending the Gauss-Huard method for the solution of Lyapunov matrix equations and matrix inversion

Abstract

The solution of linear systems is a recurrent operation in scientific and engineering applications, traditionally addressed via the LU factorization. The Gauss-Huard (GH) algorithm has been introduced as an efficient alternative in modern platforms equipped with accelerators, although this approach presented some functional constraints. In particular, it was not possible to reuse part of the computations in the solution of delayed linear systems or in the inversion of the matrix. Here, we adapt GHto overcome these two deficiencies of GH, yielding new algorithms that exhibit the same computational cost as their corresponding counterparts based on the LU factorization of the matrix. We evaluate the novel GH extensions on the solution of Lyapunov matrix equations via the LRCF-ADI method, validating our approach via experiments with three benchmarks from model order reduction.