ADDA: Alternating-Directional Doubling Algorithm for M-Matrix Algebraic Riccati Equations
نویسندگان
چکیده
A new doubling algorithm – Alternating-Directional Doubling Algorithm (ADDA) – is developed for computing the unique minimal nonnegative solution of an M -Matrix Algebraic Riccati Equation (MARE). It is argued by both theoretical analysis and numerical experiments that ADDA is always faster than two existing doubling algorithms – SDA of Guo, Lin, and Xu (Numer. Math., 103 (2006), pp. 393–412) and SDA-ss of Bini, Meini, and Poloni (Numer. Math., 116 (2010), pp. 553–578) for the same purpose. Also demonstrated is that all three methods are capable of delivering minimal nonnegative solutions with entrywise relative accuracies as warranted by the defining coefficient matrices of an MARE. 2000 Mathematics Subject Classification. 15A24, 65F30, 65H10.
منابع مشابه
Alternating-directional Doubling Algorithm for M-Matrix Algebraic Riccati Equations
A new doubling algorithm—the alternating-directional doubling algorithm (ADDA)— is developed for computing the unique minimal nonnegative solution of an M -matrix algebraic Riccati equation (MARE). It is argued by both theoretical analysis and numerical experiments that ADDA is always faster than two existing doubling algorithms: SDA of Guo, Lin, and Xu (Numer. Math., 103 (2006), pp. 393–412) a...
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