Optimization Procedure for Solution of the Generalized Silvester Matrix Equation

Anatoliy V. Nikitin; Igor V. Yurchenko

doi:10.1615/JAutomatInfScien.v31.i4-5.70

Journal of Automation and Information Sciences

Éditeur en chef: Arkadiy A. Chikriy (open in a new tab)

Éditeur associés: Vyacheslav F. Gubarev (open in a new tab) Yuriy P. Kondratenko (open in a new tab) Nonna V. Turovyerova (open in a new tab)

Publication de 12 numéros par an

ISSN Imprimer: 1064-2315

ISSN En ligne: 2163-9337

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Optimization Procedure for Solution of the Generalized Silvester Matrix Equation

Volume 31, Numéro 4-5, 1999, pp. 43-56

DOI: 10.1615/JAutomatInfScien.v31.i4-5.70

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Anatoliy V. Nikitin
Kiev National Taras Shevchenko University, Kiev

Igor V. Yurchenko
Yu. Fed'kovich Chernovitsy State University, Ukraine

RÉSUMÉ

The problem of examination of stability of a system of linear stochastic differential equations with Poisson switchings (the lto-Skorokhod model) is reduced to the problem of solution of the generalized Silvester equation in a class of additionally defined matrices by the methods of dynamic programming. An iterative procedure is proposed for solving the generalized Silvester matrix equation.

MOTS CLÉS: optimization procedure, generalized Silvester equation, Ito-Skorokhod model, dynamic programming

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