The projected Newton-Kleinman method for the algebraic Riccati equation

Abstract: The numerical solution of the algebraic Riccati equation is a challenging task especially for very large problem dimensions. In this paper we present a new algorithm that combines the very appealing computational features of projection methods with the convergence properties of the inexact Newton-Kleinman procedure equipped with a line search. In particular, the Newton scheme is completely merged in a projection framework with a single approximation space so that the Newton-Kleinman iteration is only implicitly performed. Moreover, the line search turns out to be exact in our setting, i.e., the existence of a local minimum of the Riccati residual norm along the current search direction is guaranteed and the corresponding minimizer is chosen as step-size. This property determines a monotone decrease of the Riccati residual norm under some mild assumptions. Several numerical results are reported to illustrate the potential of our novel approach.