Analysis and modificaton of Newton's method for algebraic Riccati equations

When Newton’s method is applied to find the maximal symmetric solution of an algebraic Riccati equation, convergence can be guaranteed under moderate conditions. In particular, the initial guess need not be close to the solution. The convergence is quadratic if the Fr´echet derivative is invertible at the solution. In this paper we examine the behaviour of the Newton iteration when the derivative is not invertible at the solution. We find that a simple modification can improve the performance of the Newton iteration dramatically.

• Type: Journal
• Year: 1998
• Where: MOC
• Authors: Chun-Hua Guo, Peter Lancaster
• Keywords: Algebraic Riccati Equation, Maximal Symmetric Solution, MOC 1998, Solution