An algorithm for computing positive definite solutions of the nonlinear matrix equationX + A*X−1A = I
The author investigates an algorithm suggested by \textit{J. C. Engwerda}, \textit{A. C. M. Ran} and \textit{A. L. Rijkeboer} [Linear Algebra Appl. 186, 255--275 (1993; Zbl 0778.15008)] for obtaining the minimal positive definite solution of the special case of the discrete-time algebraic Riccati matrix equation \(X+A^{\ast }X^{-1}A=I\), where \(A\) is \(n\times n\) real or complex nonsingular matrix and \(I\) is the identity matrix of order \(n\). The convergence properties of the sequence determined from the algorithm are discussed, and some numerical experiments to illustrate the behavior of the algorithm are executed.
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