Rational Krylov and ADI iteration for infinite size quasi-Toeplitz matrix equations

Abstract

We consider a class of linear matrix equations involving semi-infinite matrices which have a quasi-Toeplitz structure. These equations arise in different settings, mostly connected with PDEs or the study of Markov chains such as random walks on bidimensional lattices.We present the theory justifying the existence of the solution in an appropriate Banach algebra which is computationally treatable, and we propose several methods for computing them. We show how to adapt the ADI iteration to this particular infinite dimensional setting, and how to construct rational Krylov methods. Convergence theory is discussed, and numerical experiments validate the proposed approaches.