On the positive definite solutions of nonlinear matrix equation \(X+A^*x^{-\delta}A=Q\). (Q2576215)
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scientific article; zbMATH DE number 2241293
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| English | On the positive definite solutions of nonlinear matrix equation \(X+A^*x^{-\delta}A=Q\). |
scientific article; zbMATH DE number 2241293 |
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On the positive definite solutions of nonlinear matrix equation \(X+A^*x^{-\delta}A=Q\). (English)
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27 December 2005
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The authors consider the positive definite solutions of the nonlinear matrix equation \(X+A^*X^{-\delta}A=Q\) where \(\delta \in (0,1]\). (For \(\delta =1\) this equation arises in the analysis of ladder networks, in dynamic programming, control theory, stochastic filtering and statistics.) For \(\delta \in (0,1]\) the equation has been first considered in \textit{S. M. El-Sayed} and \textit{A. C. M. Ran} [SIAM J. Matrix Anal. Appl. 23, 632--645 (2001; Zbl 1002.65061)]. In the present paper necessary and sufficient conditions for the existence of a solution are derived. An iterative algorithm for obtaining the positive definite solutions is proposed, and an error bound is found.
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nonlinear matrix equation
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fixed point iteration
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convergence
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positive definite solutions
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iterative algorithm
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error bound
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0.8894955515861511
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0.8879244327545166
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0.8874603509902954
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0.8872936367988586
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