An inner-outer iteration algorithm with optimal parameters is developed for the stochastic Lyapunov matrix equation, with convergence proven under mean-square stability assumptions and demonstrated via numerical examples.
Numerical Algorithms , volume=
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An Inner-Outer Iteration Algorithm with Optimal Parameters for Stochastic Lyapunov Matrix Equation
An inner-outer iteration algorithm with optimal parameters is developed for the stochastic Lyapunov matrix equation, with convergence proven under mean-square stability assumptions and demonstrated via numerical examples.