Properties of Stein (Lyapunov) iterations for solving a general Riccati equation (Q884499): Difference between revisions

The author proposes a fast algorithm to solve the stochastic rational matrix Riccati equation. The positive definite case has been solved by \textit{G. Freiling} and \textit{A. Hochhaus} [Comput. Math. Appl. 45, No. 6--9, 1137--1154 (2003; Zbl 1055.39033)] via Newton's method at \(O(n^6)\) cost. The new algorithm for this problem relies on solving the Stein equation \(F^*XF = X+U\) in \(O(n^3)\) time. The paper closes with convergence proofs of the new method and an extension to the positive semidefinite case.