An SDR algorithm for the solution of the generalized algebraic Riccati equation

An algorithm is presented for solving certain classes of the algebraic Riccati equation by using the MDR transformation and extending the symplectic QR-like (or SR) method of A. Bunse-Gerstner (Linear Alg. Applic., vol.83, p.49-78, 1986) and V. Mehrmann (Ph.D. Diss., Univ. Bielefeld, W. Germany) to the generalized eigenvalue problem. The Riccati equations arise from linear systems of the form Edx/dt=Ax+Bu, where E is nonsingular but for numerical reasons E/sup -1/ A and E/sup -1/ B cannot be computed reliably.<
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