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Improved methods and starting values to solve the matrix equations iteratively
Authors:Ivan G. Ivanov   Vejdi I. Hasanov   Frank Uhlig.
Affiliation:Faculty of Economics and Business Administration, 125 Tzarigradsko chaussee, bl.3, Sofia University, Sofia 1113, Bulgaria ; Laboratory of Mathematical Modelling, Shumen University, Shumen 9712, Bulgaria ; Department of Mathematics, Auburn University, Auburn, Alabama 36849--5310
Abstract:The two matrix iterations $X_{k+1}=Imp A^*X_k^{-1}A$ are known to converge linearly to a positive definite solution of the matrix equations $Xpm A^*X^{-1}A=I$, respectively, for known choices of $X_0$ and under certain restrictions on $A$. The convergence for previously suggested starting matrices $X_0$ is generally very slow. This paper explores different initial choices of $X_0$ in both iterations that depend on the extreme singular values of $A$and lead to much more rapid convergence. Further, the paper offers a new algorithm for solving the minus sign equation and explores mixed algorithms that use Newton's method in part.

Keywords:Matrix equation   positive definite solution   iterative method   Newton's method
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