New explicit iteration algorithms for solving coupled continuous Markovian jump Lyapunov matrix equations

Abstract

In this paper, based on the Smith iteration (Smith, 1968), an inner-outer (IO) iteration algorithm for solving the coupled Lyapunov matrix equations (CLMEs) is presented. First, the IO iteration algorithm for solving the Sylvester matrix equation is proposed, and its convergence is analyzed in detail. Second, the IO iteration algorithm for solving the CLMEs is constructed. By utilizing the latest estimation, a current-estimation-based and two weighted IO iteration algorithms are also given for solving the CLMEs, respectively. Convergence analyses indicate that the iteration solutions generated by these algorithms always converge to the unique solutions to the CLMEs for any initial conditions. Finally, Several numerical examples are provided to show the superiority of the proposed numerical algorithms.