Integration-free interval doubling for Riccati equation solutions

Abstract

Various algorithms are given for the case of constant coefficients. The algorithms are based on two ideas: first, relate the Re solution with general initial conditions to anchored RE solutions; and second, when the coefficients are constant the anchored solutions have a basic shift-invariance property. These ideas are used to construct an integration free superlinearly convergent iterative solution to the algebraic RE. The algorithm, arranged in square-root form, is thought to be numerically stable and competitive with other methods of solving the algebraic RE