Solution for Sylvester Equation

[matematikawan]

Given n by n matrices A, B, C. I know how to solve the Sylvester equation

AX + XB + C = 0

using the MATLAB command >> X=lyap(A,B,C)

But how do we solve the extended Sylvester equation
AX + XB + CXD + E = 0 ?

Either numerical or analytical method I'm willing to learn.

 

[chiro]

Given n by n matrices A, B, C. I know how to solve the Sylvester equation

AX + XB + C = 0

using the MATLAB command >> X=lyap(A,B,C)

But how do we solve the extended Sylvester equation
AX + XB + CXD + E = 0 ?

Either numerical or analytical method I'm willing to learn.

Hey matematikawan.

Have you tried just expanding out the system, collecting the terms and getting a form of AX = B?

In other words you get a matrix corresponding to ZX = F and then apply the formula X = Z^-1 x F. For the Z matrix you will need to do some algebra to get this and in this particular example, F = -E.

 

[matematikawan]

I don't think it is possible to express it as AX=B.
Even to solve the Sylvester equation you have to diagonalize the matrices.

 

[chiro]

I don't think it is possible to express it as AX=B.
Even to solve the Sylvester equation you have to diagonalize the matrices.

Try pen and paper first instead of using a computer.

What will happen is that when you collect everything together you should get a linear system in terms of your X and some matrix that is premultiplied by it. Once you have separated the matrix from your X by specifying what that matrix is then you can do normal inversion techniques.

You might have to write the algorithm yourself after doing a pen and paper derivation, but the idea doesn't change.

Also when you expand out everything using algebra, I'm sure you'll find conditions for when this does not hold, possibly even as a function of A, B, and C.

Again I urge you to do the pen and paper algebraic computation if you can't use any other known results.

 

[blue_raver22]

The extended Sylvester equation is a more complex version of the original Sylvester equation and can be solved using a similar approach. One possible method is to use the MATLAB command >> X=lyap(A,B,C,D,E), which will solve for the matrix X that satisfies the extended Sylvester equation. Alternatively, one could use analytical methods such as the Bartels-Stewart algorithm or the Schur method to solve the equation. These methods involve decomposing the equation into smaller subproblems and solving them iteratively. It is also important to note that the extended Sylvester equation may not always have a unique solution and may have multiple solutions or no solution at all. Careful consideration of the problem and its specific parameters is necessary to determine the most appropriate solution method.