A numerical algorithm for Lyapunov equations (Q941473)

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A numerical algorithm for Lyapunov equations
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    A numerical algorithm for Lyapunov equations (English)
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    1 September 2008
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    The authors consider numerical methods for both discrete and continuous Lyapunov matrix equations. Their approach is based in a sequence of equations using Kronecker products. An algorithm for the discrete case is introduced and a second improved algorithm using Hessenberg decomposition is also presented. A comparison of the computation costs of the both algorithms is done. Finally these methods are extended to the continuous case.
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    matrix iterative method
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    Kronecker products
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    spectral radius
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    comparison of methods
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    Lyapunov matrix equations
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    algorithm
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    Hessenberg decomposition
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