SOLVING LYAPUNOV MATRIX EQUATION BY USING U-D FACTORIZATION METHOD
Xiangui Yu · Information and Computation · 1990
In this paper,a new solution method for the Lyapunov matrix equation by using U-D factorization method is proposed.The matrix factors Uand D are iterated instead of the iteration of solution matrix P.This new methodcan improve the accuracy of solution matrix P,while the amount of computation remains the same as theconventional algorithm.The U-D factorization method is also applied to“the two step accelerated convergentiterative method”in[1].This makes the new method both accurate and fast convergent.