Extension of the Barzilai–Borwein Method for Quadratic Forms in Finite Euclidean Spaces
William La Cruz · Numerical Functional Analysis and Optimization · 2009
In this paper, we present an extension of the Barzilai–Borwein method for the minimization of a quadratic form defined in a finite-dimensional real Euclidean space. We present a convergence analysis of the proposed method. We also present some applications in the resolution of linear matrix equations such as the Sylvester equation, which are of great interest in control theory and other engineering disciplines. Our numerical results indicate that the new method competes satisfactorily in the resolution of linear matrix equations with the function lyap of the Toolbox of Control of MATLAB.