deflating irreducible singular strongmstrong - matrix algebraic riccati.pdf

Deflating Irreducible Singular M- Matrix Algebraic Riccati Equations Wei-Guo Wang Wei-Chao Wang Ren-Cang Li Technical Report 2011-20 /math/preprint/ A deflation technique is presented for an irreducible singular M-matrix Algebraic Riccati Equation (MARE). The technique improves the rate of convergence of a doubling algorithm, especially for an MARE in the critical case for which without deflation the doubling algorithm converges linearly and with deflation it converges quadratically. The deflation also improves the conditioning of the MARE in the critical case and thus enables its minimal nonnegative solution to be computed more accurately. An M (MARE) is the matrix equation XDX − AX − XB + C = 0, (1.1) in which A, B , C , and D are matrices whose sizes are determined by the partitioning W = ( B −D ), (1.2) −C A and W is a nonsingular or an irreducible singular M-matrix. Such Riccati equations arise in applied probability, transportation theory, and stochastic fluid models, and have been extensively