论文信息 - A note on Hammarling's algorithm for the discrete Lyapunov equation

A note on Hammarling's algorithm for the discrete Lyapunov equation

Abstract A new updating formula is established for the Cholesky factors in Hammarling's algorithm for solving the real, non-negative definite discrete-time Lyapunov equation. The rank of the proposed updating term is maximum two in contrast with the erroneous rank-4 modification suggested in the original algorithm.

A. Varga

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