首页    期刊浏览 2025年02月21日 星期五
登录注册

文章基本信息

  • 标题:On the Solution of the Rational Matrix Equation X=Q+LX−1LT
  • 本地全文:下载
  • 作者:Peter Benner ; Heike Faßbender
  • 期刊名称:EURASIP Journal on Advances in Signal Processing
  • 印刷版ISSN:1687-6172
  • 电子版ISSN:1687-6180
  • 出版年度:2007
  • 卷号:2007
  • DOI:10.1155/2007/21850
  • 出版社:Hindawi Publishing Corporation
  • 摘要:

    We study numerical methods for finding the maximal symmetric positive definite solution of the nonlinear matrix equation X = Q + L X − 1 L T , where Q is symmetric positive definite and L is nonsingular. Such equations arise for instance in the analysis of stationary Gaussian reciprocal processes over a finite interval. Its unique largest positive definite solution coincides with the unique positive definite solution of a related discrete-time algebraic Riccati equation (DARE). We discuss how to use the butterfly S Z algorithm to solve the DARE. This approach is compared to several fixed-point and doubling-type iterative methods suggested in the literature.

国家哲学社会科学文献中心版权所有