Newton’s method for coupled continuous-time algebraic Riccati equations

We seek the solution of the coupled continuous-time algebraic Riccati equations, arising in the optimal control of Markovian jump linear systems. Newton’s method is applied to construct the solution, under a mild and natural stabilizability assumption, leading to some coupled Lyapunov equations. Iterative methods of O(n3)\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$O(n^3)$$\end{document} computational complexity for the coupled Lyapunov equations and the corresponding Newton’s methods for the coupled continuous-time algebraic Riccati equations are analyzed. Illustrative examples are presented.