A new inversion free iteration for solving the equation \(X + A^{\star} X^{-1} A = Q\) (Q557725)

A new iterative method for solving the matrix equation \(X + A^\star X^{-1} A = I\), where \(I\) denotes the identity matrix, is proposed: \[ X_0 = Y_0 = I, \;Y_{n+1} = (I-X_n) Y_n + I_n, \;X_{n+1} = I-A^\star Y_{n+1} A. \] It is shown that \(X_n\) converges to the maximal positive definite solution. Based on numerical experiments with two \(3\times 3\) and \(4\times 4\) examples, the authors conclude that the new method is more accurate and requires less floating point operations than some existing methods.