On the existence of a positive definite solution of the matrix equation (Q4528031)
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scientific article; zbMATH DE number 1558341
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| English | On the existence of a positive definite solution of the matrix equation |
scientific article; zbMATH DE number 1558341 |
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On the existence of a positive definite solution of the matrix equation (English)
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19 November 2001
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optimal control
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iterative method
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matrix equation
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convergence
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error bounds
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0.8958049416542053
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0.8887314200401306
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0.8857976198196411
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The authors describe an iterative method to solve the matrix equation \[ X- A^* X^{{-1\over 2^m}}A= I, \] where the solution matrix \(X\) has to be positive definite. They provide a convergence proof in the case that \(A\) satisfies certain conditions that hold in a number of reasonable test cases. The error bounds (convergence) are given in terms of a parameter \(\alpha\) which also appears in the conditions on \(A\). It would be worthwhile to investigate further what conditions on \(A\) allow to find a good parameter \(\alpha\).
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