A multi-step Smith-inner-outer iteration algorithm for solving coupled continuous Markovian jump Lyapunov matrix equations

摘要

In this paper, combining the Smith method [30] with inner-outer (IO) iteration [4], a multi-step Smith-IO (MSIO) iteration algorithm for solving the Sylvester matrix equation and coupled Lyapunov matrix equations (CLMEs) is proposed. Moreover, some convergence conditions and comparison results are also given for the MSIO iteration algorithm. Finally, several numerical examples are used to verify the effectiveness of the proposed numerical algorithms. (C) 2020 The Franklin Institute. Published by Elsevier Ltd. All rights reserved.