Cyclic gradient based iterative algorithm for a class of generalized coupled Sylvester-conjugate matrix equations. (English) Zbl 1516.65032
Summary: This paper focuses on the numerical solution of a class of generalized coupled Sylvester-conjugate matrix equations, which are general and contain many significance matrix equations as special cases, such as coupled discrete-time/continuous-time Markovian jump Lyapunov matrix equations, stochastic Lyapunov matrix equation, etc. By introducing the modular operator, a cyclic gradient based iterative (CGI) algorithm is provided. Different from some previous iterative algorithms, the most significant improvement of the proposed algorithm is that less information is used during each iteration update, which is conducive to saving memory and improving efficiency. The convergence of the proposed algorithm is discussed, and it is verified that the algorithm converges for any initial matrices under certain assumptions. Finally, the effectiveness and superiority of the proposed algorithm are verified with some numerical examples.
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