Doubling Algorithm for Nonsymmetric Algebraic Riccati Equations Based on a Generalized Transformation
Year: 2018
Author: Bo Tang, Yunqing Huang, Ning Dong
Advances in Applied Mathematics and Mechanics, Vol. 10 (2018), Iss. 6 : pp. 1327–1343
Abstract
We consider computing the minimal nonnegative solution of the nonsymmetric algebraic Riccati equation with $M$-matrix. It is well known that such equations can be efficiently solved via the structure-preserving doubling algorithm (SDA) with the shift-and-shrink transformation or the generalized Cayley transformation. In this paper, we propose a more generalized transformation of which the shift-and-shrink transformation and the generalized Cayley transformation could be viewed as two special cases. Meanwhile, the doubling algorithm based on the proposed generalized transformation is presented and shown to be well-defined. Moreover, the convergence result and the comparison theorem on convergent rate are established. Preliminary numerical experiments show that the doubling algorithm with the generalized transformation is efficient to derive the minimal nonnegative solution of nonsymmetric algebraic Riccati equation with $M$-matrix.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/aamm.OA-2018-0012
Advances in Applied Mathematics and Mechanics, Vol. 10 (2018), Iss. 6 : pp. 1327–1343
Published online: 2018-01
AMS Subject Headings: Global Science Press
Copyright: COPYRIGHT: © Global Science Press
Pages: 17
Keywords: Shift-and-shrink transformation generalized Cayley transformation doubling algorithm nonsymmetric algebraic Riccati equation.
Author Details
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Improved SDA-ss algorithm for nonsymmetric algebraic Riccati equations
Wu, Runsheng
Tang, Bo
Journal of Physics: Conference Series, Vol. 1592 (2020), Iss. 1 P.012049
https://doi.org/10.1088/1742-6596/1592/1/012049 [Citations: 0]