Nonsymmetric algebraic Riccati equations for which the four coefficient matrices form an irreducible M-matrix M are considered. The emphasis is on the case where M is an irreducible singular M-matrix, which arises in the study of Markov models. The doubling algorithm is considered for finding the minimal nonnegative solution, the one of practical interest. The algorithm has been recently studied by others for the case where M is a nonsingular M-matrix. A shift technique is proposed to transform the original Riccati equation into a new Riccati equation for which the four coefficient matrices form a nonsingular matrix. The convergence of the doubling algorithm is accelerated when it is applied to the shifted Riccati equation.
On the doubling algorithm for a (shifted) nonsymmetric algebraic Riccati equation
IANNAZZO, Bruno;
2007
Abstract
Nonsymmetric algebraic Riccati equations for which the four coefficient matrices form an irreducible M-matrix M are considered. The emphasis is on the case where M is an irreducible singular M-matrix, which arises in the study of Markov models. The doubling algorithm is considered for finding the minimal nonnegative solution, the one of practical interest. The algorithm has been recently studied by others for the case where M is a nonsingular M-matrix. A shift technique is proposed to transform the original Riccati equation into a new Riccati equation for which the four coefficient matrices form a nonsingular matrix. The convergence of the doubling algorithm is accelerated when it is applied to the shifted Riccati equation.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
