Solution of underdetermined Sylvester equations in sensor array signal processing

DOI10.1016/0024-3795(95)00236-7MaRDI QIDQ2564894zbMATH OpenOpenAlexFDO

Authors A. Scottedward Hodel, Pradeep Misra

Publication date 7 January 1997

Published in Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0024-3795(95)00236-7

zbMATH Keywords

conjugate gradient methodleast squares solutionnumerical examplesignal processingunderdetermined Sylvester equation

Mathematics Subject Classification ID

Matrix equations and identities (15A24) Numerical solutions to overdetermined systems, pseudoinverses (65F20) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Review text

Motivated by a practical example in signal processing, this paper studies numerical solution of an underdetermined Sylvester equation \((AP-PB) - (CQ-QD)= R\), all matrices \(n\times n\). Use of Kronecker products enables the problem to be reformulated as the underdetermined system \(Fz=r\), with \(F\) size \(n^2 \times 2n^2\). The required solution matrices \(P\) and \(Q\) can be recovered from the least squares solution \(z\) of the above system, the solution of which requires \(O(n^6)\) flops. To reduce computational effort, after a suitable transformation of the problem, the standard conjugate gradient method, based on matrices of size \(n\times n\), is implemented in a straightforward manner. This procedure reduces the work in finding \(P\) and \(Q\) to \(O(n^5)\) flops. A numerical example completes the paper.

Recommendations

• A new projection method for solving large Sylvester equations
• Least-Squares Approximate Solution of Overdetermined Sylvester Equations
• Krylov subspace methods for the generalized Sylvester equation
• Explicit solution of Sylvester and Lyapunov equations

Cites work

• A generalized ADI iterative method
• A Hessenberg-Schur method for the problem AX + XB= C
• Algorithm 432 [C2]: Solution of the matrix equation AX + XB = C [F4]
• Explicit Solutions of Linear Matrix Equations
• scientific article; zbMATH DE number 125135 (Why is no real title available?)
• Kronecker products and matrix calculus in system theory
• Krylov Subspace Methods for Solving Large Lyapunov Equations
• Krylov-subspace methods for the Sylvester equation
• Methods of conjugate gradients for solving linear systems
• Solution of Lyapunov equations by alternating direction implicit iteration
• SOR for AX-XB=C

Cited in

(1)

• A new solution of pair matrix equations with arbitrary triangular fuzzy numbers

Describes a project that uses

Uses Software

• Algorithm 432

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