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Journal of Applied Mathematics and Computing

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01-02-2016 | Original Research

A new linearized implicit iteration method for nonsymmetric algebraic Riccati equations

Authors: Huaize Lu, Changfeng Ma

Published in: Journal of Applied Mathematics and Computing | Issue 1-2/2016

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Abstract

For the nonsymmetric algebraic Riccati equation, we establish a new linearized implicit iteration method (LI) for computing its minimal nonnegative solution. And a modified linearized implicit iteration method (MLI) is obtained through Shamanskii technique. Under suitable conditions, we prove the monotone convergence of the LI and MLI iteration methods. Numerical experiments show that the LI and MLI iteration methods are feasible and effective. Moreover, the MLI iteration method outperforms the alternately linearized implicit iteration method (in: Bai et al., Numer. Linear Algebr. Appl. 13:655–674, 2006).

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Title: A new linearized implicit iteration method for nonsymmetric algebraic Riccati equations
Authors: Huaize Lu
Changfeng Ma
Publication date: 01-02-2016
Publisher: Springer Berlin Heidelberg
Published in: Journal of Applied Mathematics and Computing / Issue 1-2/2016
Print ISSN: 1598-5865
Electronic ISSN: 1865-2085
DOI: https://doi.org/10.1007/s12190-015-0867-9

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