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In this paper a new algorithm for solving algebraic Riccati equations (both continuous-time and discrete-time versions) is presented. The method studied is a variant of the classical eigenvector approach and uses instead an appropriate set of Schur vectors, thereby gaining substantial numerical advantages. Considerable discussion is devoted to a number of numerical issues. The method is apparently quite numerically stable and performs reliably on systems with dense matrices up to order 100 or so, storage being the main limiting factor.
Alan J. Laub (Sat,) studied this question.