Analysis and modificaton of Newton’s method for algebraic Riccati equations (Q4396451)

Consider the real continuous-time algebraic Riccati equation (CARE) \({\mathcal R}(X):= XDX- A^TX- XA- C= 0\), where all matrices are \(n\times n\) and the matrices \(D\), \(C\) are symmetric. The standard Newton iteration for solving CARE is \[ (A- DX_i)^TX_{i+ 1}+ X_{i+ 1}(A- DX_i)+ X_iDX_i+ C= 0, \] where \(X_0\) is choosen symmetric and nonnegative definite. If the Fréchet derivative \({\mathcal R}_X\) of \({\mathcal R}\) is invertible at the maximal solution \(X_+\geq 0\) then the convergence is quadratic. The authors investigate the case when the derivative is not invertible (in the given case this is possible if the matrix \(A- DX_+\) has imaginary eigenvalues). A modification of the Newton method is proposed which allows to improve the convergence significantly. The convergence result is based on the paper of \textit{C. T. Kelley} [Math. Comput. 47, 609-623 (1986; Zbl 0613.65062)] on the convergence of the Newton method at singular roots of equations in Banach spaces.