Convergence Analysis of a New Inversion-Free Iterative Algorithm for the Discrete Algebraic Riccati Equation

Abstract

In this paper, motivated by the Schulz method for finding the inverse of a nonsingular matrix, an inverse-free iterative algorithm for solving the discrete algebraic Riccati equation (DARE) is given in its transformation form. The convergence of the proposed algorithm is proved. Compared with some existing algorithms, numerical examples show that our algorithm has less iteration steps and CPU times.