A Successive over Relaxation Implicit Iterative Algorithm for Solving Stochastic Linear Systems with Markov Jumps

Autor:	Tianrui Wu, Peiqi Huang, Hong Chen
Jazyk:	angličtina
Rok vydání:	2024
Předmět:	iterative algorithms SOR continuous stochastic Lyapunov equations Markov jumps Mathematics QA1-939
Zdroj:	Mathematics, Vol 12, Iss 7, p 1080 (2024)
Druh dokumentu:	article
ISSN:	12071080 2227-7390
DOI:	10.3390/math12071080
Popis:	In order to solve continuous stochastic Lyapunov equations, a novel implicit iterative algorithm is presented by means of successive over relaxation (SOR) iteration in this article. Throughout this method, three tuning parameters are added for the improvement of the convergence rate. It is shown that this algorithm is monotonically bounded, and the convergence condition is also given and extended. Applying the latest updated estimates, this algorithm can attain a better convergence performance compared with other existing iterative algorithms when choosing appropriate tuning parameters. Finally, a numerical example is provided to illustrate the feasibility and priority of this approach.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/eb82611306ce4d8b818216d9b7df393f Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF Plný text ve formátu HTML
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