Modified alternately linearized implicit iteration method for M-matrix algebraic Riccati equations

Jinrui Guan

Applied Mathematics and Computation, 2019, vol. 347, issue C, 442-448

Abstract: Research on the theories and efficient numerical methods of M-matrix algebraic Riccati equation (MARE) has become a hot topic in recent years. In this paper, we consider numerical solution of M-matrix algebraic Riccati equation and propose a modified alternately linearized implicit iteration method (MALI) for computing the minimal nonnegative solution of MARE. Convergence of the MALI method is proved by choosing proper parameters for the nonsingular M-matrix or irreducible singular M-matrix. Theoretical analysis and numerical experiments show that the MALI method is effective and efficient in some cases.

Keywords: M-matrix algebraic Riccati equation; Minimal nonnegative solution; Newton method; ALI iteration method (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:347:y:2019:i:c:p:442-448

DOI: 10.1016/j.amc.2018.11.025

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