数学季刊 ›› 2021, Vol. 36 ›› Issue (2): 141-148.doi: 10.13371/j.cnki.chin.q.j.m.2021.02.003
摘要: An AOR (Accelerated Over-Relaxation) iterative method is suggested by
introducing one more parameter than SOR (Successive Over-Relaxation) method for
solving coupled Lyapunov matrix equations (CLMEs) that come from continuous-time
Markovian jump linear systems. The proposed algorithm improves the convergence rate,
which can be seen from the given illustrative examples. The comprehensive theoretical
analysis of convergence and optimal parameter needs further investigation.
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