A Low-rank ADI Algorithm for the Numerical Solution of Large Discrete-time Non-symmetric Algebraic Riccati Equations
ScientificML
Proposes a low-rank alternating direction implicit method for solving large-scale discrete-time non-symmetric algebraic Riccati equations arising in game-theoretic Nash equilibrium computations, significantly reducing storage and computational complexity.
See LICENSE file Algebraic Riccati EquationLow-rank AlgorithmADI Method