Martin Köhler, Jens Saak

SLICOT Working Note 2014-1: September 2014.

The solutions of Lyapunov and generalized Lyapunov equations are a key player in many applications in systems and control theory. Their stable numerical computation, when the full solution is sought, is considered solved since the seminal work of Bartels and Stewart [1]. A number of variants of their algorithm have been proposed, but none of them goes beyond BLAS level-2 style implementation. On modern computers, however, the formulation of BLAS level-3 type implementations is crucial to enable optimal usage of cache hierarchies and modern block scheduling methods based on directed acyclic graphs describing the interdependence of single block computations. Our contribution closes this gap by a transformation of the aforementioned level-2 variants to level-3 versions and a comparison on a standard multicore machine.