Convergence characterisation of an iterative algorithm for periodic Lyapunov matrix equations

Ying Zhang, Ai-Guo Wu and Yu Wang

International Journal of Systems Science, 2019, vol. 50, issue 6, 1216-1228

Abstract: This paper is concerned with convergence characterisation of an iterative algorithm for a class of reverse discrete periodic Lyapunov matrix equation associated with discrete-time linear periodic systems. Firstly, a simple necessary condition is given for this algorithm to be convergent. Then, a necessary and sufficient condition is presented for the convergence of the algorithm in terms of the roots of polynomial equations. In addition, with the aid of the necessary condition explicit expressions of the optimal parameter such that the algorithm has the fastest convergence rate are provided for two special cases. The advantage of the proposed approaches is illustrated by numerical examples.

Date: 2019
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DOI: 10.1080/00207721.2019.1597945

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