Highly accurate decoupled doubling algorithm for large-scale M-matrix algebraic Riccati equations
Numerical Analysis
2020-12-08 v2 Numerical Analysis
Abstract
We consider the numerical solution of large-scale M-matrix algebraic Riccati equations with low-rank structures. We derive a new doubling iteration, decoupling the four original iteration formulae in the alternating-directional doubling algorithm. We prove that the kernels in the decoupled algorithm are small M-matrices. Illumined by the highly accurate algorithm proposed by Xue and Li in 2017, we construct the triplet representations for the small M-matrix kernels in a highly accurate doubling algorithm. Illustrative numerical examples will be presented on the efficiency of our algorithm.
Cite
@article{arxiv.2011.00471,
title = {Highly accurate decoupled doubling algorithm for large-scale M-matrix algebraic Riccati equations},
author = {Zhen-Chen Guo and Eric King-wah Chu and Xin Liang},
journal= {arXiv preprint arXiv:2011.00471},
year = {2020}
}
Comments
24 pages, 6 figures, 2 tables