Nonsymmetric algebraic Riccati equations associated with an M-matrix: recent advances and algorithms

Abstract

We survey theoretical properties and algorithms concerning the problem of solving a nonsymmetric algebraic Riccati equation, and we report on some known methods and new algorithmic advances. In particular, some results on the number of positive solutions are proved and a careful convergence analysis of Newton’s iteration is carried out in the cases of interest where some singularity conditions are encountered. From this analysis we determine initial approximations which still guarantee the quadratic convergence.

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Cite this paper

@inproceedings{Bini2007NonsymmetricAR, title={Nonsymmetric algebraic Riccati equations associated with an M-matrix: recent advances and algorithms}, author={Dario Bini and Bruno Iannazzo and Beatrice Meini and Federico Poloni}, booktitle={Numerical Methods for Structured Markov Chains}, year={2007} }