Two-Step Relaxation Newton Method for Nonsymmetric Algebraic Riccati Equations Arising from Transport Theory

Abstract EN

We propose a new idea to construct an effective algorithm to compute the minimal positive solution of the nonsymmetric algebraic Riccati equations arising from transport theory.

For a class of these equations, an important feature is that the minimal positive solution can be obtained by computing the minimal positive solution of a couple of fixed-point equations with vector form.

Based on the fixed-point vector equations, we introduce a new algorithm, namely, two-step relaxation Newton, derived by combining two different relaxation Newton methods to compute the minimal positive solution.

The monotone convergence of the solution sequence generated by this new algorithm is established.

Numerical results are given to show the advantages of the new algorithm for the nonsymmetric algebraic Riccati equations in vector form.