Structure-preserving algorithms for Hermitian solutions of algebraic Riccati equations
نویسندگان
چکیده
In this paper, we propose structure-preserving algorithms for the computation of Hermitian solutions of continuous/discrete-time algebraic Riccati equations. Under assumptions that partial multiplicities of purely imaging and unimodular eigenvalues (if any) of the associated Hamiltonian and symplectic pencil, respectively, are all even, we prove that the developed structure-preserving algorithms converge to the desired Hermitian solutions globally and linearly. Numerical experiments show that our algorithms perform efficiently and reliably.
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