Extending the CGLS method for finding the least squares solutions of general discrete-time periodic matrix equations

Abstract

The periodic matrix equations are strongly related to analysis of periodic control systems for various engineering and mechanical problems. In this work, a matrix form of the conjugate gradient for least squares (MCGLS) method is constructed for obtaining the least squares solutions of the general discrete-time periodic matrix equations ?t,j=1 (Ai,jXi,jBi,j + Ci,jXi+1,jDi,j)=Mi, i=1,2,.... It is shown that the MCGLS method converges smoothly in a finite number of steps in the absence of round-off errors. Finally two numerical examples show that the MCGLS method is efficient.