A defect-correction algorithm for quadratic matrix equations, with applications to quasi-Toeplitz matrices

arXiv2212.09491MaRDI QIDQ6420971FDOQ6420971

Publication date: 19 December 2022

Abstract: A defect correction formula for quadratic matrix equations of the kind

A_{1} X^{2} + A_{0} X + A_{- 1} = 0

is presented. This formula, expressed by means of an invariant subspace of a suitable pencil, allows us to introduce a modification of the Structure-preserving Doubling Algorithm (SDA), that enables refining an initial approximation to the sought solution. This modification provides substantial advantages, in terms of convergence acceleration, in the solution of equations coming from stochastic models, by choosing a stochastic matrix as the initial approximation. An application to solving random walks in the quarter plane is shown, where the coefficients

A_{- 1}, A_{0}, A_{1}

are quasi-Toeplitz matrices of infinite size.

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