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A new inversion-free method for a rational matrix equation

2010; Elsevier BV; Volume: 433; Issue: 1 Linguagem: Inglês

10.1016/j.laa.2010.02.006

1873-1856

Marlliny Monsalve, Marcos Raydan,

Advanced Optimization Algorithms Research

Motivated by the classical Newton–Schulz method for finding the inverse of a nonsingular matrix, we develop a new inversion-free method for obtaining the minimal Hermitian positive definite solution of the matrix rational equation X+A∗X-1A=I, where I is the identity matrix and A is a given nonsingular matrix. We present convergence results and discuss stability properties when the method starts from the available matrix AA∗. We also present numerical results to compare our proposal with some previously developed inversion-free techniques for solving the same rational matrix equation.