Iterations for solving a rational Riccati equation arising in stochastic control
We consider different iterative methods for computing a Hermitian or maximal Hermitian solution of two types rational Riccati equations arising in stochastic control. The classical Newton procedure and its modification applied to equations are very expensive. New less expensive iterations for these equations are introduced and some convergence properties of the new iterations are proved.
nonlinear matrix equation rational matrix function lyapunov equation newton method positive semidefinite solution pseudo-inverse matrix