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

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成果类型:
期刊论文
作者:
Tian, Zhaolu*;Wang, Junxin;Dong, Yinghui;Liu, Zhongyun
通讯作者:
Tian, Zhaolu
作者机构:
[Tian, Zhaolu; Wang, Junxin] Shanxi Univ Finance & Econ, Coll Appl Math, Taiyuan 030006, Peoples R China.
[Dong, Yinghui] Suzhou Univ Sci & Technol, Dept Math & Phys, Suzhou, Peoples R China.
[Liu, Zhongyun] Changsha Univ Sci & Technol, Sch Math & Stat, Changsha 410114, Peoples R China.
通讯机构:
[Tian, Zhaolu] S
Shanxi Univ Finance & Econ, Coll Appl Math, Taiyuan 030006, Peoples R China.
语种:
英文
关键词:
Matrix algebra;Comparison result;Convergence conditions;Inner-outer iterations;Iteration algorithms;Lyapunov matrix equations;Markovian jumps;Numerical algorithms;Sylvester matrix equations;Iterative methods
期刊:
Journal of the Franklin Institute
ISSN:
0016-0032
年:
2020
卷:
357
期:
6
页码:
3656-3679
基金类别:
We would appreciate the anonymous reviewers for their valuable and estimable comments and suggestions, which greatly improve the presentation of this paper. The work is supported by the National Natural Science Foundation of China (Grant no. 11371075 ), the Hunan Key Laboratory of mathematical modeling and analysis in engineering, the NSF of Jiangsu Province (Grant no. BK20170064) and QingLan Project of Jiangsu Province.
机构署名:
本校为其他机构
院系归属:
数学与统计学院
摘要:
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 nu...

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