Accurate solutions of M-matrix algebraic Riccati equations
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Publication:2428547
This paper is concerned with the relative perturbation theory and its entrywise relatively accurate numerical solutions of an Riccati equation \(XDX-AX-B+C=0\), where the block-matrix \([{B\atop -C}{-D\atop A}]\) is a nonsingular or an irreducible singular \(M\)-matrix. Such Riccati equation has a unique nonnegative solution. It is shown that small relative perturbations to the entries of the matrices \(A\), \(B\), \(C\), and \(D\) introduce small relative changes to the entries of the non-negative solution. The authors discuss some minor but important implementation details to three selected numerical methods. The results are illustrated on several numerical experiments.
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Cited in
(27)- Condition numbers and backward error of a matrix polynomial equation arising in stochastic models
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