Journal
COMPUTERS & MATHEMATICS WITH APPLICATIONS
Volume 58, Issue 7, Pages 1441-1448Publisher
PERGAMON-ELSEVIER SCIENCE LTD
DOI: 10.1016/j.camwa.2009.06.047
Keywords
Lyapunov matrix equations; Sylvester matrix equations; Iterations; Least-squares; Estimation
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Funding
- Scientific Research Foundation for the Returned Overseas Chinese Scholars (State Education Ministry)
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In this paper, we present a gradient based iterative algorithm for solving general linear matrix equations by extending the Jacobi iteration and by applying the hierarchical identification principle. Convergence analysis indicates that the iterative solutions always converge fast to the exact solutions for any initial values and small condition numbers of the associated matrices. Two numerical examples are provided to show that the proposed algorithm is effective. (C) 2009 Elsevier Ltd. All rights reserved.
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