Search arXiv⌕ Search
Home/Archive/arXiv

arXiv · 2607.00451

An Inner-Outer Iteration Algorithm with Optimal Parameters for Stochastic Lyapunov Matrix Equation

Donghuan He·Xiaowen Su·Feng Wang·Xuesong Chen
View original source ↗Read source document ↗Export metadata ↓

Abstract

This paper proposes an inner--outer (IO) iterative algorithm with optimal parameters for solving stochastic Lyapunov matrix equation associated with discrete-time stochastic linear system. First, under the assumption that the underlying stochastic linear system is asymptotically mean-square stable, the monotonicity and boundedness of the iterative sequence generated by the proposed algorithm are analyzed. On this basis, a sufficient convergence result is established for the zero initial condition. Second, by deriving the spectral radius of the corresponding iteration matrix, several necessary and sufficient convergence conditions are obtained for arbitrary initial conditions. In addition, the optimal parameter-selection strategies are developed to improve the convergence performance of the algorithm. Finally, numerical examples are presented to verify the theoretical results and demonstrate the advantages of the proposed algorithm over several existing iterative methods.

Explore related subjects

math.NAcs.NA

Keep this discovery

Explore connections, maps & timelines

BibTeXRIS

Donghuan He, Xiaowen Su, Feng Wang, Xuesong Chen. 2026-07-01. An Inner-Outer Iteration Algorithm with Optimal Parameters for Stochastic Lyapunov Matrix Equation. https://arxiv.org/abs/2607.00451

Cite the original work for its findings. Save a collection to share your selection of sources.

KEEP EXPLORING

Related papers

arXiv2026

Fully spectral scheme for the linear BGK equation on the whole space

In this article, we design a fully spectral method in both space and velocity for a linear inhomogeneous kinetic equation with mass, momentum and energy conservation. We focus on the linear BGK equation with a confinement potential $Φ$, even if the method could be applied to different collision operators. It is based upon the projection on Hermite polynomials in velocity and orthonormal polynomials with respect to the weight $e^{-$Φ$}$ in space. The potential $Φ$ is assumed to be a polynomial. It is, to the author's knowledge, the first scheme which preserves hypocoercive behavior in addition to the conservation laws. These different properties are illustrated numerically on both quadratic and double well potential.

math.NA↗
arXiv2026

Inverse inequalities for kernel-based approximation on bounded domains and Riemannian manifolds

This paper establishes inverse inequalities for kernel-based approximation spaces defined on bounded Lipschitz domains in $\mathbb{R}^d$ and compact Riemannian manifolds. While inverse inequalities are well-studied for polynomial spaces, their extension to kernel-based trial spaces poses significant challenges. For bounded Lipschitz domains, we extend prior Bernstein inequalities, which only apply to a limited range of Sobolev orders, to the full range of lower and upper orders, and derive Nikolskii inequalities that bound $L_\infty$ norms by $L_2$ norms. For compact Riemannian manifolds, we focus on restricted kernels, which are defined as the restriction of positive definite kernels from the ambient Euclidean space to the manifold, and prove their counterparts.

math.NA↗
arXiv2026

Error Estimates for Hyperbolic Scaling Limits of Linear Kinetic Models on Networks

This paper studies linear discrete kinetic models on networks and their asymptotic behavior in the small Knudsen number limit. For coupling conditions at an n-edge junction under a symmetric formulation, we introduce a change of variables that reformulates the system into n independent initial-boundary value problems. The asymptotic expansions are then constructed and rigorously justified by deriving an error estimate based on the energy method.

math.NA↗