Iterative Solution of a Nonsymmetric Algebraic Riccati Equation

Guo, Chun-Hua and Higham, Nicholas J. (2006) Iterative Solution of a Nonsymmetric Algebraic Riccati Equation. [MIMS Preprint]

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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 transformed 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. When the minimal solution of the Riccati equation is stochastic, we show that the Latouche--Ramaswami algorithm, combined with a shift technique suggested by He, Mini, and Rhee, is breakdown-free and is able to find the minimal solution more efficiently and more accurately than the algorithm without a shift. When the minimal solution of the Riccati equation is substochastic, we show how the substochastic minimal solution can be found by computing the stochastic minimal solution of a related Riccati equation of the same type.

Item Type: MIMS Preprint
Uncontrolled Keywords: nonsymmetric algebraic Riccati equation, $M$-matrix, minimal nonnegative solution, perturbation analysis, Newton's method, Latouche--Ramaswami algorithm, shifts
Subjects: MSC 2010, the AMS's Mathematics Subject Classification > 15 Linear and multilinear algebra; matrix theory
MSC 2010, the AMS's Mathematics Subject Classification > 65 Numerical analysis
Depositing User: Nick Higham
Date Deposited: 21 Jun 2006
Last Modified: 08 Nov 2017 18:18
URI: http://eprints.maths.manchester.ac.uk/id/eprint/309

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