Parallel solvers for discrete‐time algebric Riccati equations

We investigate the numerical solution of discrete‐time algebraic Riccati equations on a parallel distributed architecture. Our solvers obtain an initial solution of the Riccati equation via the disc function method, and then refine this solution using Newton's method. The Smith iteration is employed to solve the Stein equation that arises at each step of Newton's method. The numerical experiments on an Intel Pentium‐II cluster, connected via a Myrinet switch, report the performance and scalability of the new algorithms. Copyright © 2001 John Wiley & Sons, Ltd.

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