2005.48: Iterative Solution of a Nonsymmetric Algebraic Riccati Equation

2005.48: Chun-Hua Guo and Nicholas J. Higham (2005) Iterative Solution of a Nonsymmetric Algebraic Riccati Equation.

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Abstract

We study the nonsymmetric algebraic Riccati equation whose four coefficient matrices are the blocks of a nonsingular $M$-matrix or an irreducible singular $M$-matrix $M$. The solution of practical interest is the minimal nonnegative solution. We show that Newton's method with zero initial guess can be used to find this solution without any further assumptions. We also present a qualitative perturbation analysis for the minimal solution, which is instructive in designing algorithms for finding more accurate approximations. For the most practically important case, in which $M$ is an irreducible singular $M$-matrix with zero row sums, the minimal solution is either stochastic or substochastic and the Riccati equation can be tranformed into a unilateral matrix equation by a procedure of Ramaswami. The minimal solution of the Riccati equation can then be found by computing the minimal nonnegative solution of the unilateral equation using the Latouche--Ramaswami algorithm. We show that the Latouche--Ramawami algorithm, combined with a shift technique suggested by He, Mini, and Rhee, is breakdown-free in all cases and is able to find the minimal solution more efficiently and more accurately than the algorithm without a shift. Our approach is to find a proper stochastic solution using the shift technique even if it is not the minimal solution. We show how we can easily recover the minimal solution when it is not the computed stochastic solution.

Available Versions of this Item

• Iterative Solution of a Nonsymmetric Algebraic Riccati Equation (deposited 31 March 2007)
  • Iterative Solution of a Nonsymmetric Algebraic Riccati Equation (deposited 21 June 2006)
  • Iterative Solution of a Nonsymmetric Algebraic Riccati Equation (deposited 16 December 2005) [Currently Displayed]

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