Quadratic alternating direction implicit iteration for the fast solution of algebraic Riccati equations

@article{Wong2005QuadraticAD,
  title={Quadratic alternating direction implicit iteration for the fast solution of algebraic Riccati equations},
  author={Ngai Wong and Venkataramanan Balakrishnan},
  journal={2005 International Symposium on Intelligent Signal Processing and Communication Systems},
  year={2005},
  pages={373-376}
}
Algebraic Riccati equations (AREs) spread over many branches of signal processing and system design problems. Solution of large scale AREs, however, can be computationally prohibitive. This paper introduces a novel second order extension to the alternating direction implicit (ADI) iteration, called quadratic ADI or QADI, for the efficient solution of an ARE. QADI is simple to code and exhibits fast convergence. A Cholesky factor variant of QADI, called CFQADI, further accelerates computation by… CONTINUE READING