Numerical solution of Lyapunov equations related to Markov jump linear systems

Abstract

We suggest and compare different methods for the numerical solution of Lyapunov like equations with application to control of Markovian jump linear systems. First, we consider fixed point iterations and associated Krylov subspace formulations. Second, we reformulate the equation as an optimization problem and consider steepest descent, conjugate gradient, and a trust-region method. Numerical experiments illustrate that for large-scale problems the trust-region method is more effective than the steepest descent and the conjugate gradient methods. The fixed-point approach, however, is superior to the optimization methods. As an application we consider a networked control system, where the Markov jumps are induced by the wireless communication protocol.