A multi-step Smith-inner-outer iteration algorithm for solving coupled continuous Markovian jump Lyapunov matrix equations

A multi-step Smith-inner-outer iteration algorithm for solving coupled continuous Markovian jump Lyapunov matrix equations

In this paper, combining the Smith method [30] with inner-outer (IO) iteration [4], a multi-step Smith-IO (MSIO) iteration algorithm for solving the Sylvester matrix equation and coupled Lyapunov matrix equations (CLMEs) is proposed. Moreover, some convergence conditions and comparison results are a...

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Veröffentlicht in:Journal of the Franklin Institute 2020-04, Vol.357 (6), p.3656-3679
Hauptverfasser: Tian, Zhaolu, Wang, Junxin, Dong, Yinghui, Liu, Zhongyun
Format: Artikel
Sprache:eng
Schlagworte:
Iterative algorithms
Iterative methods
Markov analysis
Mathematical analysis
Mathematical functions
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Zusammenfassung:In this paper, combining the Smith method [30] with inner-outer (IO) iteration [4], a multi-step Smith-IO (MSIO) iteration algorithm for solving the Sylvester matrix equation and coupled Lyapunov matrix equations (CLMEs) is proposed. Moreover, some convergence conditions and comparison results are also given for the MSIO iteration algorithm. Finally, several numerical examples are used to verify the effectiveness of the proposed numerical algorithms.
ISSN:0016-0032
1879-2693
0016-0032
DOI:10.1016/j.jfranklin.2020.02.026