Solution of a nonsymmetric algebraic Riccati equation from a two-dimensional transport model (Q609493)

In the context of the steady-state solution of an integral-differential equation from a two-dimensional model in transport theory, in this paper the following nonsymmetric algebraic Riccati equation \(B^ - - XF - F^ + X + XB^ + X = 0\) is derived and studied, where \(F^ \pm \equiv I - \hat sPD^ \pm ,B^ - \equiv (\hat bI + \hat sP)D^ - \) and \(B^ + \equiv \hat bI + \hat sPD^ + \), with \(P\) a nonnegative matrix, \(D^ \pm \) positive diagonal matrices, and \(f\), \(\hat b \equiv b/(1 - f)\) and \(\hat s \equiv s/(1 - f)\) nonnegative parameters. Under the condition \(f + b + s\left\| {P(D^ + + D^ - )} \right\|_\infty < 1\), the existence of the minimal nonnegative solution \(X^*\) is proved and its numerical computation by fixed-point iteration, Newton's method and doubling is studied. Several special cases are studied; for example for \(\hat b = 0\) and \(P\) low-ranked, it is shown that \(X^* = \frac{{\hat s}}{2}UV\) is low-ranked and that it can be computed using more efficient iterative processes in \(U\) and \(V\). These results are illustrated by two numerical examples.