=Paper=
{{Paper
|id=Vol-3687/Short_7
|storemode=property
|title=Algorithm for Finding a Positive Definite Solution to the Sylvester Matrix Equation
|pdfUrl=https://ceur-ws.org/Vol-3687/Short_7.pdf
|volume=Vol-3687
|authors=Oleksii Bychkov,Ganna Marzafey,Georgy Dimitrov
|dblpUrl=https://dblp.org/rec/conf/dsmsi/BychkovMD23
}}
==Algorithm for Finding a Positive Definite Solution to the Sylvester Matrix Equation==
Algorithm for Finding a Positive Definite Solution to the
Sylvester Matrix Equation
Oleksii Bychkov 1, Ganna Marzafey 2 and George Dimitrov 3
1
Taras Shevcenko National University of Kyjv, Volodymyrska str. 60, Kyjv, Ukraine, 01601
2
University of Library Studies and Information Technologies, Blvd. βTsarigradsko Shoseβ 119, 7-Kilometar,
Sofia, Bulgaria, 1784
Abstract
The article examines the problem of constructing an algorithm for finding positive definite
matrices that are the solution to Sylvester's three-term matrix equation. The problem is that,
unlike the Lyapunov equation, such a condition cannot be written in terms of eigenvalues. The
condition for the existence of a solution to the Sylvester equation is based on the principle of
contraction mappings. The article also proposes an iterative procedure and algorithm for
finding a solution.
Keywords1
algorithm, stability, iteration procedure, Silvestr, solution
1. Introduction
The Sylvester matrix equation π΄π + ππ΅ = πΆ, also sometimes called the continuous Sylvester
equation, and the Stein matrix equation π + π΄ππ΅ = πΆ, in turn, sometimes called the discrete
Sylvester equation, as well as their special cases - the Lyapunov equations π΄π π + ππ΄ = πΆ and π β
π΄ππ΄π = πΆ, are well-studied and frequently encountered (for example, in the theory of differential
equations) classes of matrix equations [1-6]. The conditions for the unique solvability of these equations
have long been known; there are numerical algorithms for solving them, for example, the Bartels-
Stewart and Golub-Nash-Van Loan algorithms.
An analogue of Sylvester's equation π΄π + ππ΅ = πΆ began to attract the attention of researchers
relatively recently [7-9]. Although this equation is superficially very similar to Sylvester's equation,
their natures are profoundly different. Let's give a simple example to illustrate this difference. If all
matrices are square and π΄ = π΅, then Sylvesterβs equation has a unique solution π - for any right-hand
side πΆ. For the same coefficients π΄ and π΅, the equation π΄π + ππ΅ = πΆ has a solution only if the matrix
πΆ is symmetric. If this condition is met and π satisfies this equation, then π + πΎ, where πΎ is an
arbitrary skew-symmetric matrix, is also a solution.
π
Equation π΄ π + ππ΄ = πΆ , as well as the equations π΄π + ππ΅ = πΆ we will generally call two
member equations of Sylvester type. The relevance of studying this kind of equations is beyond doubt.
Let us give several examples showing why the study of equations of Sylvester type is justified. Equation
π΄π + ππ΅ = πΆ was first encountered by us in article [10-12], where it was studied under the additional
assumption πΆ = πΆ π .
Solvability conditions and a description of the general solution were given in terms of generalized
inverses for matrices π΄ and π΅ and their associated projectors. These conditions are not entirely
Dynamical System Modeling and Stability Investigation (DSMSI-2023), December 19-21, 2023, Kyiv, Ukraine
EMAIL: oleksiibychkov@knu.ua (O. Bychkov); annamartsafei@knu.ua (G, Marzafey); geo.p.dimitrov@gmail.com (G. Dimitrov)
ORCID: 0000-0002-9378-9535 (O. Bychkov); 0000-0001-5064-3168 (G. Dimitrov)
Β©οΈ 2023 Copyright for this paper by its authors.
Use permitted under Creative Commons License Attribution 4.0 International (CC BY 4.0).
CEUR Workshop Proceedings (CEUR-WS.org)
CEUR
Workshop
ceur-ws.org
ISSN 1613-0073
137
Proceedings
constructive and are difficult to verify. Homogeneous equation π΄π + ππ΅ = πΆ was studied in article
[2] in the special case π΅ = π΄. The authors were motivated by the fact that the set π΄π + ππ΅ β πΆ πΓπ
is the tangent space (calculated at point π΄) of the orbit of matrix π΄ under the action of congruences. The
codimension of this orbit is exactly the dimension of the space of solutions to the equation π΄π + π΄π =
0. The main result of work [2,3] was the establishment of the canonical structure of matrices in general
position with respect to congruences. In a similar way, the same authors in [4] studied the equation
π΄π + π΄π = 0. In the publication [4] the equations π΄π + ππ΅ = πΆ arise when constructing an
algorithm for palindromic eigenvalue problems π΄π₯ = ππ΄π π₯ .
In the process of reducing matrix A to antitriangular form, the need arises to solve these equations
numerically. In article [5], the conditions for unique solvability and a numerical algorithm for solving
the equation π΄π + ππ΅ = πΆ are formulated.
By analogy with equations of Sylvester type, equations of Stein type will be called equations π +
π΄ππ΅ = πΆ. The first of them was partially studied in publication [6]. The question naturally arises
about the completion of this study. The topic of solvability of the other two equations, on the contrary,
is explored exhaustively in this publication.
No less interesting is the problem of obtaining sufficient solvability conditions for the Sylvester
matrix equation
π΄π π» + π»π΄ + π΅π π»π΅ = βπΆ,
where πΆ is a positive definite matrix. The need to solve such equations is emphasized in [13-14].
It is noted in [9] that there are now several approaches to solving the Sylvester equation. The first is
to reduce the matrix equation to a vector (linear algebraic equation of increased dimension) and then
the condition for the solvability of this equation is expressed through the non-degeneracy of the
corresponding matrix. The second approach uses the small parameter method. It is also possible to
obtain a spectral sparsity criterion for an equation with mutually commutable matrices. An analytical
solution of this equation is possible only for the case of the two-term Sylvester equation.
At the same time, the question of the existence of a positive definite solution in the general case
remains open. The procedure for finding this solution is also of interest for another investigations [15-
16]. The purpose of the article is to obtain sufficient conditions for the existence of a solution to the
Sylvester matrix equation on a set of positive definite matrices. The article will also present an iterative
procedure and algorithm for finding these solutions.
2. Main result
The approach is based on a modification of the contraction mapping method. If on a complete
metric space π the following operator is specified πΉ[π₯], π₯ β π, that maps points π₯ β πto points of the
same space πΉ[π₯] β π and satisfies the contraction condition π(πΉ[π₯], πΉ[π¦]) β€ πΌπ(π₯, π¦), 0 < πΌ < 1,
where π(π₯, π¦) is the metric of the space M, then the operator equation
π₯ = πΉ[π₯]
has a unique solution π₯ β β π, and it can be found by the method of successive iterations
π₯ = lim π₯π , π₯π = πΉ[π₯πβ1 ], π = 1,2, β¦ , π₯0 = π₯ 0 .
πββ
Let π₯0 - be an arbitrary point in space, H is some complete metric space with metric π(π»1 , π»2 ). Let
us fix the following operators:
πΉ, πΊ: π» β π».
Consider the operator equation
πΉ[π»] = πΊ[π»] (1)
138
Let us show that to solve this equation we can use an iterative procedure based on the following
implicit scheme
πΉ[π»π +1 ] = πΊ[π»π ], π»0 = π»0 , π = 1,2, . . , ; π»0 βH (2)
Definition. We call method (2) converging to the solution of equation (1) if the sequence {π¦π }, π¦π =
πΉ[π»π ], at π β β converges. Let us prove a theorem whose conditions ensure the convergence of
method (2) to the solution of equation (1).
Let us assume that the solution to equation (1) lies in the set π»(π΄, π):
π» (π΄, π) = {π» β π»: π (πΉ[π»], πΉ[π΄])β¨π}.
Theorem 1. Let us fix the set π» (π΄, π), i.e. the values of π and π΄ are determined. If for arbitrary
π»1 , π»2 β π»(π΄, π) operators πΉ, πΊ: π» β π» satisfy the contraction condition
π(πΊ[π»1 ], πΊ[π»2 ]) < π π(πΉ[π»1 ], πΉ[π»2 ]), 0 < π < 1, (3)
and
π(πΊ[π΄], πΉ[π΄]) < (1 β π)π , (4)
then operator equation (1) has a unique solution in the set π»(π, π) and the sequence {π¦π }, π¦π = πΉ[π»π ]
constructed according to scheme (2) converges to π¦ β = πΉ[π»β ] for any starting point π»0 ππ» (π΄, π). For
the error of method (2), the following estimate is valid:
ππ
π(πΉ[π»π ], πΉ[π» β ]) < 1βπ π(πΊ[π»0 ], πΉ[π»0 ]). (5)
Proof. Let π»0 - be an arbitraryelement of H(A, r) . Let us prove that the sequence π»π built according
to scheme (2) will not leave the set H(A, r). By condition π»0 β π» (π΄, π). Let us assume that π»π β
π» (π΄, π)for some fixed k. Let us show that then π»π+1 β π» (π΄, π). Consider the equality:
πΉ[π»π +1 ] = πΊ[π»π ]
Let us subtract the πΉ[π΄] from both sides of the above mentioned equation, we get
πΉ[π»π+1 ] β πΉ[π΄] = πΊ[π»π ] β πΉ[π΄] = (πΊ[π»π ] β πΊ[π΄]) + (πΊ[π΄] β πΉ[π΄])
Then the inequality holdsο
π(πΉ[π»π+1 ], πΉ[π΄]) < π(πΊ[π»π ], πΊ[π΄]) + π(πΊ[π΄], πΉ[π΄]).
Using the induction hypothesis, we have
π(πΊ[π»π ], πΊ[π΄]) < ππ(πΉ[π»π ], πΉ[π΄]) < qr
and since by the conditions of the theorem π(πΊ[π΄], πΉ[π΄]) < (1 β π)π we get that
π(πΉ[π»π+1 ], πΉ[π΄]) < qr + (1 β π)π = π.
Thus π»π+1 β π»(π΄, π).
Now we will show that the following sequence {π¦π }, π¦π = πΉ[π»π ] is Cauchy. Let's consider the
difference πΉ[π»π+1 ] β πΉ[π»π ]:
πΉ[π»π+1 ] β πΉ[π»π ] = πΊ[π»π ] β πΊ[π»πβ1 ]
Because the π»π β π»(π΄, π), then using condition (3) we obtain
π(πΉ[π»π+1 ], πΉ[π»π ]) = π(πΊ[π»π ], πΊ[π»πβ1 ]) < ππ(πΉ[π»π ], πΉ[π»πβ1 ])
and therefore
π(πΉ[π»π+1 ], πΉ[π»π ]) < ππ π(πΉ[π»1 ], πΉ[π»0 ]) (6)
Let π β π. Then it's fair
πΉ[π»π+π ] β πΉ[π»π ] = βππ=1(πΉ[π»π+π ] β πΉ[π»π+πβ1 ]).
And according to (6) we get:
139
ππ (7)
π(πΉ[π»π+π ], πΉ[π»π ]) < 1βπ π(πΉ[π»1 ], πΉ[π»0 ]).
ππ
Because lim 1βπ = 0 and does not depend on π, then the sequence {π¦π } - Cauchy. Therefore there
πβΒ₯
is a limit
lim π¦π = π¦ β , π¦ β = πΉ[π» β ], π» β β π» (π΄, π)
πββ
Let us pass to the limit in (2) at π β β, then we get that πΉ[π»β ] = πΊ[π» β ]. Hence π» β - is a solution
of equation (1). Let us prove the uniqueness of this solution. Let π»β is a some another solution (1) and
π»β β π»(π΄, π). Then
πΉ[π»β ] β πΉ[π» β ] = πΊ[π»β ] β πΊ[π»β ]
andο
π(πΉ[π»β ], πΉ[π» β ]) < ππ(πΉ[π»β ], πΉ[π» β ]).
Because 0 < π < 1, That π»β = π» β .
Let us prove the estimate of the error of method (2). Let k be fixed and π β β. Then from (7) we
obtain
ππ
π(πΉ[π»π ], πΉ[π»β ]) < 1βπ π(πΉ[π»1 ], πΉ[π»0 ]), π = 1,2, πΎ.
Therefore the theorem is proven.
2.1. Existance of solution
Denote as H the space of symmetric matrices with the metric -π(π»1 , π»2 ) = |π»1 β π»2 |.
Let us write the Lagrange formula for the operators F and G. We have:
πΉ[π»1 ] β πΉ[π»2 ] = π»2 (π₯)(π»1 β π»2 ), πΊ[π»1 ] β πΊ[π»2 ] = π»1 (π₯)(π»1 β π»2 ),
Where π»1 (.), π»2 (.) are the GΓ’teaux derivatives of the operators πΉ and πΊ at some midpoint.
Assume that there is an inverse operator π»2β1 . Then we get:
πΊ[π»1 ] β πΊ[π»2 ] = π»1 (π₯)π»2β1 (π₯)(πΉ[π»1 ] β πΉ[π»2 ]).
Thus we have
| πΊ[π»1 ] β πΊ[π»2 ]| β€ |π»1 (π₯)π»2β1 (π₯)||πΉ[π»1 ] β πΉ[π»2 ]| (8)
It follows that condition (3) of Theorem 1 will be satisfied if
|π»1 (π₯)π»2β1 (π₯)| β€ π < 1. (9)
This condition is not always convenient. Using Theorem 1 and inequality (9), we obtain the
conditions for the solvability of the Sylvester matrix equation.
Let us define the operators F and G as follows:
πΉ[π»]=-π΄π π» β HA, πΊ[π»] = πΆ + π΅π HB,
where π΄, π΅ are some matrices, πΆ is a positive definite matrix. Then the Sylvester matrix equation
can be rewritten as:
πΉ[π»] = πΊ[π»]. (10)
Let us obtain constructive solvability conditions for this equation.
Lemma 1. A necessary condition for the solvability of the Sylvester matrix equation on the set of
positive definite matrices is that the matrix π΄ is Hurwitz.
Proof. Let π»0 is a positive definite solution to Sylvester's equation. Consider the expression
βπ΄π π»0 β π»0 π΄ = πΆ + π΅π π»0 π΅.
Let's denote πΆ1 = πΆ + π΅π π»0 π΅. Because πΆ and π»0 are positive definite, then πΆ1 will be a positive
definite. Then
140
βπ΄π π»0 β π»0 π΄ = πΆ1
is a matrix Lyapunov equation and since π»0 is his solution, then π΄ is a Hurwitz matrix.
2.2. Iteration procedure
Lemma 2. Let matrices π΄, π΅ satisfy the following conditions:
1) π΄- is Hurwitz matrix, (11)
2)|(π΅π ΓB)(βπ΄π ΓI β IΓA)β1 | β€ π, (12)
where Γ denotes the Kronecker product, then there is a unique positive definite solution to the
Sylvester matrix equation and it can be found using the iterative procedure
βπ΄π π»π+1 β π»π+1 π΄ = πΆ + π΅π π»π π΅,
where πΆ is an arbitrary positive definite matrix.
Proof. Let us apply inequality (9) to the operators defining the Sylvester equation. For operator πΊ
we have:
π¨1 (π ) = π΅π ΓB.
Since π΄ is Hurwitz, then the operator π»2β1 (π ) exists and can be written
π¨2β1 (π ) = (βπ΄π xI β IxA)β1 .
Consequently, we find that inequality (12) ensures that condition (3) of Theorem 1 is satisfied.
Let us take as the working set the entire space of positive definite matrices, then π=β. Thus, we obtain
conditions for the existence and uniqueness of a solution to the Sylvester matrix equation.
Let us show that the solution obtained by the iterative procedure
βπ΄π π»π+1 β π»π+1 π΄ = πΆ + π΅π π»π π΅
will be a positive definite matrix. Let us prove this by mathematical induction. Matrix π»0 positive
definite - due to the choice of the starting point. Let π»π is a positive definite matrix. Let's show positive
definiteness π»π+1 .
Consider the equation
βπ΄π π»π+1 β π»π+1 π΄ = πΆπ ,
π
where πΆπ = πΆ + π΅ π»π π΅,π = 1,..., π,...
Since π΄ is Hurwitz and πΆπ - is always positive definite, thenπ»π+1 , as a solution to the Lyapunov
equation will be a positive definite matrix. The lemma is proven.
2.3. Application examples
Let us consider examples of the fulfillment of the conditions of Lemma 2. Let in the first
example
3 5 0 0.1 0.5 0
π΄ = (2 1 0) π΅ = ( 4 0.3 0.9)
0 3 5 0.1 0 0.5
where matrix π΄ is Hurwitz. We substitute the values of matrices π΄ and π΅ into condition (12), carry out
calculations and find that all elements in the resulting matrix are less than 1 in absolute value, which
indicates that the condition is met.
In the second example
1 2 0 0.1 0.2 0.1
π΄ = (3 4 0) π΅ = (0.3 0.1 0.5)
0 1 2 0.2 0.4 0.1
141
we carry out similar calculations and obtain the fulfillment of conditions (11) and (12).
Let us give an example of non-fulfillment of the conditions of Lemma 2. Let the values of the
matrices be as follows:
1 2 0 1 2 3
π΄ = (3 4 0) π΅ = (3 4 5)
0 1 2 2 4 1
In this case, when calculating condition (12), we obtain a matrix where some elements have absolute
values greater than 1, and this indicates that the condition is not met.
2.4. Algoritm for solving Silvestβr equation
Let us consider an algorithm for finding positive definite solutions. For finding a solution of the
Sylvester equation, we apply the following algorithm:
1. Check the Hurwitz property of matrix π΄.
2. Check the condition |(π΅π ΓB)(βπ΄π ΓI β IΓA)β1 | β€ π.
3. If 1.2 are true, then a solution exists and perform step 4. Otherwise, step 9.
4. We let π = 0, π»0 = πΌ, πΌ β identity matrix.
5. At the kth step we calculate πΆ1 = πΆ + π΅π π»π π΅.
6. Solve the Lyapunov equation βπ΄π π»π+1 β π»π+1 π΄ = πΆ1 .
7. Check the condition for ending the iteration procedure. If it is not fulfilled, then π = π + 1 and
go to step 5, otherwise go to step 8.
8. Resulting matrix π»π - is a solution to the Sylvester matrix solution.
9. The end.
3. Acknowledgements
We thanks professor Khusainov Denys and Erasmus+ for supporting our research.
4. Conclusions and discussion of results
The article studies the solvability of Sylvester's three-term matrix equation. Using the principle of
contraction mappings, a sufficient condition for the existence of a positive definite solution is obtained.
It should be noted that such conditions have not been published before. In other works authors solve
similar equations by expanding the equation into a system of linear algebraic equations with constant
coefficients and then solving it, for example, using the Gauss method. This approach does not allow us
to obtain the condition for the existence of the necessary solution. In this article, in addition to the
sufficient condition for the existence of a positive definite solution to the three-term matrix Sylvester
equation, an algorithm for finding it is proposed and the convergence of this algorithm is proven.
The method presented in this article will allow us to more effectively solve problems of stability and
controllability, which are presented in [17-22]. The solvability condition for Sylvester's three-term
matrix equation is easy to verify. It is constructive. The proposed algorithm effectively finds a
symmetric positive definite solution.
5. References
[1]. Xing Lili, Li Weiguo, Bao Wendi, Some results for Kaczmarz method to solve Sylvester matrix
equations, Journal of the Franklin Institute, Volume 360, Issue 11, 2023, pp. 7457-7461.
142
[2]. Piao F., Zhang Q., Wang Z. The solution to matrix equation AX + XTC = B // J. Franklin Inst.
2007. V. 344. N 8. P. 1056-1062.
[3]. Zebin Chen, Xuesong Chen, Modification on the convergence results of the Sylvester matrix
equation AX+XB=C, Journal of the Franklin Institute, Volume 359, Issue 7, 2022, pp. 3126-3147
[4]. Teran F., Bopico F. M. The solution of the equation XA+AXT = 0 and its application to the theory
of orbits // Linear Algebra Appl. 2011. V. 434. N 1. P. 44-67.
[5]. Zhaolu Tian, Yudong Wang, Yinghui Dong, Xuefeng Duan, The shifted innerβouter iteration
methods for solving Sylvester matrix equations, Journal of the Franklin Institute, Volume 361,
Issue 5, 2024, https://www.sciencedirect.com/science/article/pii/S0016003224000954
[6]. Shihai Li, Changfeng Ma, Factor gradient iterative algorithm for solving a class of discrete periodic
Sylvester matrix equations, Journal of the Franklin Institute, Volume 359, Issue 17, n2022, pp.
9952-9970.
[7]. Soheila Ghoroghi Shafiei, Masoud Hajarian, Developing Kaczmarz method for solving Sylvester
matrix equations, Journal of the Franklin Institute, Volume 359, Issue 16, 2022, pp. 8991-9005.
[8]. Lakhlifa Sadek, Ahmad Sami Bataineh, Osman Rasit Isik, Hamad Talibi Alaoui, Ishak Hashim, A
numerical approach based on Bernstein collocation method: Application to differential Lyapunov
and Sylvester matrix equations, Mathematics and Computers in Simulation, Volume 212, 2023,
pp. 475-488.
[9]. Kressner V., Schroder C., Watkins BS Implicit QR algorithms for palindromic and even eigenvalue
problems // Numerical Algorithms. 2009. V. 51. N 2. P. 209-238.
[10]. George A., Ikramov Kh. D., Matushkina E.V., Tang W.-P. On a QR-Like Algorithm for Some
Structured Eigenvalue Problems // SIAM J. Matrix Anal. Appl. 1995. V. 16. N. 4. P. 1107-1126.
[11]. Zhou W., Lam J., Buan G.-R. Toward solution of matrix equation X = Ai(X)B + C // Linear
Algebra Appl. 2011. V. 435. N 6. P. 1370-1398.
[12]. Wenli Wang, Caiqin Song, Iterative algorithms for discrete-time periodic Sylvester matrix
equations and its application in antilinear periodic system, Applied Numerical Mathematics,
Volume 168, 2021, pp. 251-273.
[13]. Zhaolu Tian, Yudong Wang, Yinghui Dong, Shiyu Wang, New results of the IO iteration
algorithm for solving Sylvester matrix equation, Journal of the Franklin Institute, Volume 359,
Issue 15, 2022, pp. 8201-8217.
[14]. Soheila Ghoroghi Shafiei, Masoud Hajarian, An iterative method based on ADMM for solving
generalized Sylvester matrix equations, Journal of the Franklin Institute, Volume 359, Issue 15,
2022, pp. 8155-8170.
[15]. Korenivsky D.G. Destabilizing effect of parametric white noise in continuous and discrete
dynamic systems. β Proceedings of the Institute of Mathematics of the National Academy of
Sciences of Ukraine, vol. 59, 2006. β 110 p.
[16] Biswa Datta Numerical methods for linear control systems: design and analysis. Elsevier Academic
Press, Amsterdam ; Boston. ISBN 978-0-12-203590-6.
[17]. Shatyrko A., Khusainov D. On the Interval Stability of Weak-Nonlinear Control Systems with
Aftereffect // Open Source Journal. The Scientific World Journal, vol. 2016, Article ID 6490826,
8 pages, 2016. doi:10.1155/2016/6490826
[18]. Khusainov D.Ya., Bychkov A.S. Estimates of exponential convergence of difference systems with
delay //Differential equations, vol. 38, no. 6, 2002, pp. 1803-1806
[19]. Khusainov D.Ya., Shatyrko A.V. Absolute stability of multidelay regulation systems. Journal of
Automation and Information Sciences, 1995, 27(3-4). P.33-42
[20]. Bychkov A.S., Merkuryev M.G. Stability of continuous hybrid automata //Cybernetics and
systems analysis. β 2007. - No. 2. - With. 123-128
[21]. K. Merkulova and Y. Zhabska, "Input Data Requirements for Person Identification Information
Technology", Proceedings of the 1st International Workshop on Computer Information
Technologies in Industry 4.0 (CITI 2023), vol. 3468, 2023, pp. 24-37
[22] O. Kalivoshko, V. Kraevsky, K. Burdeha, I. Lyutyy and N. Kiktev, "The Role of Innovation in
Economic Growth: Information and Analytical Aspect," 2021 IEEE 8th International Conference
on Problems of Infocommunications, Science and Technology (PIC S&T), Kharkiv, Ukraine, 2021,
pp. 120-124, doi: 10.1109/PICST54195.2021.9772201
143