A new inversion free iteration for solving the equation \(X + A^{\star} X^{-1} A = Q\) (Q557725): Difference between revisions
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Revision as of 21:17, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new inversion free iteration for solving the equation \(X + A^{\star} X^{-1} A = Q\) |
scientific article |
Statements
A new inversion free iteration for solving the equation \(X + A^{\star} X^{-1} A = Q\) (English)
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30 June 2005
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A new iterative method for solving the matrix equation \(X + A^\star X^{-1} A = I\), where \(I\) denotes the identity matrix, is proposed: \[ X_0 = Y_0 = I, \;Y_{n+1} = (I-X_n) Y_n + I_n, \;X_{n+1} = I-A^\star Y_{n+1} A. \] It is shown that \(X_n\) converges to the maximal positive definite solution. Based on numerical experiments with two \(3\times 3\) and \(4\times 4\) examples, the authors conclude that the new method is more accurate and requires less floating point operations than some existing methods.
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matrix equation
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fixed point iteration
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convergence
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iterative method
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maximal positive definite solution
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numerical experiments
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