PERTURBATION ANAYSIS FOR THE MATRIX EQUATION X = I - A*X-1A + B*X-1B
Hosoo Lee · Korean Journal of Mathematics · 2014
The purpose of this paper is to study the perturbation analysis of the matrix equation $X=I-A^*X^{-1}A+B^*X^{-1}B$ . Based on the matrix differentiation, we give a precise perturbation bound for the positive definite solution. A numerical example is presented to illustrate the shrpness of the perturbation bound.