Convergence analysis of the extended Krylov subspace method for the Lyapunov equation

The extended Krylov subspace method has recently arisen as a competitive method for solving large-scale Lyapunov equations. Using the theoretical framework of orthogonal rational functions, in this paper we provide a general a priori error estimate when the known term has rank-one. Special cases, such as symmetric coefficient matrix, are also treated. Numerical experiments confirm the proved theoretical assertions.

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