Alternating Direction Method for a Class of Sylvester Matrix Equations with Linear Matrix Inequality Constraint. (17th February 2018)

• Record Type: Journal Article
• Authors: Ke, Yifen; Ma, Changfeng
• Is Part Of: Numerical functional analysis and optimization. Volume 39:Number 3(2018)
• Page Start: 257
• Page End: 275
• Publication Date: 2018-02-17
• Subjects: Alternating direction method -- convergence analysis -- linear matrix inequality constraint -- numerical experiment -- Sylvester matrix equations; 65F10 -- 15A24 -- 65F30; Functional analysis -- Periodicals; Numerical analysis -- Periodicals; Mathematical optimization -- Periodicals; Numerical Analysis, Computer-Assisted; 515.705
• DOI: 10.1080/01630563.2017.1349795
• Languages: English
• ISSNs: 0163-0563

Abstract

ABSTRACT: This paper introduces an alternating direction method of multipliers (ADMM) for finding solutions to a class of Sylvester matrix equation AXB = E subject to a linear matrix inequality constraint CXD ≥ G . Preliminary convergence properties of ADMM are presented. Numerical experiments are performed to illustrate the feasibility and effectiveness of ADMM. In addition, some numerical comparisons with a recent algorithm are also given.