An implicit iterative algorithm with a tuning parameter for Itô Lyapunov matrix equations

In this paper, an implicit iterative algorithm is proposed for solving a class of Lyapunov matrix equations arising in Itô stochastic linear systems. A tuning parameter is introduced in this algorithm, and thus the convergence rate of the algorithm can be changed. Some conditions are presented such...

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Bibliographic Details

Published in:	International journal of systems science Vol. 49; no. 2; pp. 425 - 434
Main Authors:	Zhang, Ying, Wu, Ai-Guo, Sun, Hui-Jie
Format:	Journal Article
Language:	English
Published:	London Taylor & Francis 25.01.2018 Taylor & Francis Ltd
Subjects:	Algorithms Convergence convergence rate discrete Lyapunov matrix equations Iterative algorithms Iterative methods Linear systems Matrix methods Queuing theory Smith iteration Tuning
ISSN:	0020-7721, 1464-5319
Online Access:	Get full text
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