Iterative and doubling algorithms for Riccati‐type matrix equations: A comparative introduction

DOI10.1002/GAMM.202000018MaRDI QIDQ6144046zbMATH OpenOpenAlexFDO

Authors Federico Poloni

Publication date 5 January 2024

Published in GAMM-Mitteilungen (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2005.08903

zbMATH Keywords

algebraic Riccati equationcontrol theorydoubling algorithmnumerical linear algebra

Mathematics Subject Classification ID

Basic linear algebra (15Axx) Numerical linear algebra (65Fxx) Model systems in control theory (93Cxx)

Abstract: We review a family of algorithms for Lyapunov- and Riccati-type equations which are all related to each other by the idea of emph{doubling}: they construct the iterate $Q_k=X_{2^k}$ of another naturally-arising fixed-point iteration $(X_h)$ via a sort of repeated squaring. The equations we consider are Stein equations $X-A^{\ast }XA=Q$, Lyapunov equations $A^{\ast }X+XA+Q=0$, discrete-time algebraic Riccati equations $X=Q+A^{\ast }X(I+GX{)}^{-1}A$, continuous-time algebraic Riccati equations $Q+A^{\ast }X+XA-XGX=0$, palindromic quadratic matrix equations $A+QY+A^{\ast }{Y}^2=0$, and nonlinear matrix equations $X+A^{\ast }{X}^{-1}A=Q$. We draw comparisons among these algorithms, highlight the connections between them and to other algorithms such as subspace iteration, and discuss open issues in their theory.

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