The Shifting Technique for Computing the Extreme Solutions of X + A^\top X^{-1} A = Q

arXiv1302.6752MaRDI QIDQ6239939FDOQ6239939

Authors: Chun-Yueh Chiang, Matthew M. Lin

Publication date: 27 February 2013

Abstract: We propose a new way for speeding up the search of the maximal solution

X_{+}

of

X + A^{o} p X^{- 1} A = Q

. It is known that the speed of convergence of traditional approaches for solving this problem depends highly on the spectral radius

h o (X_{+}^{- 1} A)

. If

h o (X_{+}^{- 1} A)

is close to one or equal to one, the iterations of traditional approaches converges very slowly or does not converge. Our goal is to come up with a shifting tactic to remove the singularities embedded in

h o (X_{+}^{- 1} A)

. Finally, an example is used to demonstrate the capacity of our method.

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