ETNA - Electronic Transactions on Numerical Analysis
|
Verlag der Österreichischen Akademie der Wissenschaften Austrian Academy of Sciences Press
A-1011 Wien, Dr. Ignaz Seipel-Platz 2
Tel. +43-1-515 81/DW 3420, Fax +43-1-515 81/DW 3400 https://verlag.oeaw.ac.at, e-mail: verlag@oeaw.ac.at |
|
DATUM, UNTERSCHRIFT / DATE, SIGNATURE
BANK AUSTRIA CREDITANSTALT, WIEN (IBAN AT04 1100 0006 2280 0100, BIC BKAUATWW), DEUTSCHE BANK MÜNCHEN (IBAN DE16 7007 0024 0238 8270 00, BIC DEUTDEDBMUC)
|
ETNA - Electronic Transactions on Numerical Analysis ISBN 978-3-7001-8258-0 Online Edition Research Article
Peter Benner,
Davide Palitta
S. 68 - 88 doi:10.1553/etna_vol54s68 Verlag der Österreichischen Akademie der Wissenschaften doi:10.1553/etna_vol54s68
Abstract: The nonsymmetric T-Riccati equation is a quadratic matrix equation where the linear part corresponds to the so-called T-Sylvester or T-Lyapunov operator that has previously been studied in the literature. It has applications in macroeconomics and policy dynamics. So far, it presents an unexplored problem in numerical analysis, and both theoretical results and computational methods are lacking in the literature. In this paper we provide some sufficient conditions for the existence and uniqueness of a nonnegative minimal solution, namely the solution with component-wise minimal entries. Moreover, the efficient computation of such a solution is analyzed. Both the small-scale and large-scale settings are addressed, and Newton-Kleinman-like methods are derived. The convergence of these procedures to the minimal solution is proven, and several numerical results illustrate the computational efficiency of the proposed methods. Keywords: T-Riccati equation, M-matrices, minimal nonnegative solution, Newton-Kleinman method Published Online: 2020/11/20 14:16:03 Object Identifier: 0xc1aa5572 0x003c02bf Rights: . Electronic Transactions on Numerical Analysis (ETNA) is an electronic journal for the publication of significant new developments in numerical analysis and scientific computing. Papers of the highest quality that deal with the analysis of algorithms for the solution of continuous models and numerical linear algebra are appropriate for ETNA, as are papers of similar quality that discuss implementation and performance of such algorithms. New algorithms for current or new computer architectures are appropriate provided that they are numerically sound. However, the focus of the publication should be on the algorithm rather than on the architecture. The journal is published by the Kent State University Library in conjunction with the Institute of Computational Mathematics at Kent State University, and in cooperation with the Johann Radon Institute for Computational and Applied Mathematics of the Austrian Academy of Sciences (RICAM). Reviews of all ETNA papers appear in Mathematical Reviews and Zentralblatt für Mathematik. Reference information for ETNA papers also appears in the expanded Science Citation Index. ETNA is registered with the Library of Congress and has ISSN 1068-9613. …
|
Verlag der Österreichischen Akademie der Wissenschaften Austrian Academy of Sciences Press
A-1011 Wien, Dr. Ignaz Seipel-Platz 2
Tel. +43-1-515 81/DW 3420, Fax +43-1-515 81/DW 3400 https://verlag.oeaw.ac.at, e-mail: verlag@oeaw.ac.at |