Alternating Direction Method for a Class of Sylvester Matrix Equations with Linear Matrix Inequality Constraint |
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| Authors: | Yifen Ke |
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| Affiliation: | 1. Key Laboratory of Computational Geodynamics, Chinese Academy of Sciences, Beijing, P.R. China;2. College of Mathematics and Informatics &3. FJKLMAA, Fujian Normal University, Fuzhou, P.R. China |
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| Abstract: | This paper introduces an alternating direction method of multipliers (ADMM) for finding solutions to a class of Sylvester matrix equation AXB = E subject to a linear matrix inequality constraint CXD≥G. Preliminary convergence properties of ADMM are presented. Numerical experiments are performed to illustrate the feasibility and effectiveness of ADMM. In addition, some numerical comparisons with a recent algorithm are also given. |
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| Keywords: | Alternating direction method convergence analysis linear matrix inequality constraint numerical experiment Sylvester matrix equations |
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