求解一类代数Riccati方程的Anderson加速算法

Anderson Acceleration for Solving a Class of Algebraic Riccati Equation

为解决一类源于运输问题的非对称代数Riccati方程在接近奇异情况下大规模运算时收敛速度较慢的问题,利用Anderson加速对这类方程的不动点迭代进行加速.数值实验表明,该方法是有效的,特别当问题接近奇异时,优势更明显.

In order to solve the problem that a class of nonsymmetric algebraic Riccati equations derived from transportation problems converge slowly when large-scale operations are approaching singular conditions,this paper uses Anderson acceleration to accelerate the fixed point iteration of this type of equation.Numerical experiments show that the proposed method is effective, which has obvious advantages especially in the near-to-singular case.