A New Subspace Iteration method for the Algebraic Riccati Equation

Yiding Lin, Valeria Simoncini

We consider the numerical solution of the continuous algebraic Riccati equation $A^{\ast }X+XA-XFX+G=0$, with $F=F^{\ast },G=G^{\ast }$ of low rank and $A$ large and sparse. We develop an algorithm…