Explicit iterative algorithm with optimal tuning parameter for stochastic Lyapunov matrix equation
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DOI码：10.1007/s11075-025-02019-7
发表刊物：Numerical Algorithms
关键字：Iterative algorithm · Tuning parameter · Sylvester matrix equations · Lyapunov matrix equations · Stochastic systems
摘要：In this study, a new explicit iterative algorithm with a tuning parameter is constructed to solve the Lyapunov matrix equation associated with the discrete-time stochastic systems. Firstly, the boundedness and monotonicity of the proposed algorithm under zero initial condition are studied when the corresponding stochastic system is asymptotical mean-square stable. In addition, some necessary and sufficient conditions are investigated for the convergence of the proposed algorithm. Furthermore, the optimal tuning parameter is studied to achieve the fastest convergence rate of the algorithm for some special cases, and for the general cases, two searching approaches are given to find the optimal tuning parameter. Finally, three numerical examples are taken to illustrate the correctness of the conclusions in this paper.
合写作者：Hui-Jie Sun,Jinxiu Zhang
第一作者：Zebin Chen
论文类型：期刊论文
通讯作者：Xuesong Chen
是否译文：否
发表时间：2025-02-11
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