SOLUTION OF LYAPUNOV EQUATIONS BY ALTERNATING DIRECTION IMPLICIT ITERATION

被引：96

作者：

LU, A

WACHSPRESS, EL

机构：

来源：

COMPUTERS & MATHEMATICS WITH APPLICATIONS | 1991年 / 21卷 / 09期

关键词：

D O I：

10.1016/0898-1221(91)90124-M

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this report, a new procedure is presented for solving the Lyaunov matrix equation. First, the system is reduced to tridiagonal form with Gaussian similarity transformations. Then the resulting system is solved with Alternating-Direction-Implicit (ADI) iteration. A matrix commutation property essential for "model problem" convergence of ADI iteration applied to elliptic difference equations is not needed for this application. All stable Lyapunov matrix equations are model ADI problems.

引用

页码：43 / 58

页数：16

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