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Explicit iterative algorithms for solving coupled discrete-time Lyapunov matrix equations

Explicit iterative algorithms for solving coupled discrete-time Lyapunov matrix equations

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In this study, the authors aim to study explicit iterative algorithms for solving coupled discrete-time Lyapunov matrix equations. First, an explicit iterative algorithm based on fixed point theory of dynamic equations is presented via adding a tuning parameter. Second, a necessary and sufficient condition is provided for the convergence of the proposed algorithm. Moreover, the optimal value of the tuning parameter is derived for the fastest convergence of the algorithm. Third, by using the latest updated information, a modified version of the presented explicit iterative algorithm is also established with a necessary and sufficient condition being provided to guarantee the convergence of the modified algorithm. Finally, a numerical example is given to demonstrate the effectiveness of the proposed algorithms.

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