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The Polynomial Solution to the Sylvester Matrix Equation✩

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The Polynomial Solution to the Sylvester Matrix Equation✩ Applied Mathematics Letters 19 (2006) 859–864 www.elsevier.com/locate/aml The polynomial solution to the Sylvester matrix equation✩ Qingxi Hu, Daizhan Cheng∗ Institute of Systems Science, Chinese Academy of Sciences, Beijing 100080, PR China Received 14 April 2005; received in revised form 6 September 2005; accepted 27 September 2005 Abstract For when the Sylvester matrix equation has a unique solution, this work provides a closed form solution, which is expressed as a polynomial of known matrices. In the case of non-uniqueness, the solution set of the Sylvester matrix equation is a subset of that of a deduced equation, which is a system of linear algebraic equations. c 2005 Elsevier Ltd. All rights reserved. Keywords: Sylvester equation; Characteristic polynomial; Spectrum 1. Introduction Let A ∈ Rm×m and B ∈ Rn×n;thefollowing matrix equation is called Sylvester equation: AX − XB = C. (1) m×n The Sylvester theorem tells us that[10,12]: for every matrix C ∈ R ,theSylvester equation (1) has a unique solution X if and only if σ(A) σ(B) = ∅,whereσ(Z) denotes the spectrum of the matrix Z. The Sylvester equation, containing the Lyapunov matrix equation as a special case, has numerous applications in control theory, signal processing, filtering, model reduction, image restoration, decoupling techniques for ordinary and partial differential equations, implementation of implicit numerical methods for ordinary differential equations, and block-diagonalization of matrices; see, for example [1,3–6,9,11]asafewreferences. The problem was first discussed in a seminal book [7], where the corresponding homogeneous equation of (1) is defined as AX − XB = 0. (2) Then the general solution X of Eq. (1) has the form X = X0 + X1 (3) where X0 is a fixed particular solution of (1),andX1 is the general solution of Eq. (2). ✩ Supported partly by NNSF 60274010, 60221301, 60334040, 60228003 of China. ∗ Corresponding author. Tel.: +86 10 62651445; fax: +86 10 62587343. E-mail addresses: [email protected] (Q. Hu), [email protected] (D. Cheng). 0893-9659/$ - see front matter c 2005 Elsevier Ltd. All rights reserved. doi:10.1016/j.aml.2005.09.005 860 Q. Hu, D. Cheng / Applied Mathematics Letters 19 (2006) 859–864 Next, in order to solve Eq. (2),theauthor reduced the matrices A and B to their Jordan normal forms A˜ and B˜ respectively via similar transformations − − A = U 1 AU˜ , B = P 1 BP˜ , (4) and convert then to a set of simple matrix equations. This method depends on solving eigenvalues and converting the matrices to Jordan canonical form, which is in general very difficult. In addition, the book does not provideamethod for obtaining one particular solution X0 of Eq. (1). Then some standard solving methods for the Sylvester equation (1) have been developed. Two widely used methods are the Stewart method [2]andtheHessenberg–Schur method [5,8]. These methods are based on transforming the coefficient matrices into Schur or Hessenberg form and then solving the corresponding linear equations directly by a back-substitution process. So these methods are called direct methods. The main shortcoming of the aforementioned methods is that they do not provide an explicit formula for the solutions. An alternative method [10]istoexpress (1) as T [In ⊗ A − B ⊗ Im ]x = c (5) where ⊗ is theKronecker product of matrices. x = Vc(X) and c = Vc(C) are the column stacking forms of the matrices, i.e., T Vc(X) = (x11, x21, ...,xm1, ...,x1n, x2n, ...,xmn) . From (5) one sees easily that the coefficient matrix is non-singular, iff A and B have no common eigenvalue, which is the Sylvester theorem. When σ(A) σ(B) = ∅ Eq. (5) does provide a precise solution. But it is in a vector form, which means it is basically a numerical solution. In some applications it is not convenient. In this work, we try to find the matrix form solution of the Sylvester equation when it has a unique solution. Moreover, the unique solution is a polynomial of the coefficient matrices A, B and C.Whenthe uniqueness fails, we convert it to a common equation of the form GX = H .Andtherelationship between the solution sets of (1) and GX = H is discussed. In our approach what do we need is the characteristic polynomials of the coefficient matrices A and B,whichcan be obtained via a routine computation. 2. Solving the Sylvester equation In this section we provide a polynomial matrix form solution of the Sylvester equation. Consider Eq. (1).Let m i m m−1 m−2 p(s) = αi s = s + αm−1s + αm−2s + ···+α1s + α0 i=0 and n i n n−1 n−2 q(s) = βi s = s + βn−1s + βn−2s + ···+β1s + β0 i=0 (where αm = 1andβn = 1) be the characteristic polynomials of A and B,respectively. We first prove a lemma. Lemma 2.1. Assume X is the solution of (1).Thenfor any k ≥ 1 k−1 − − Ak X − XBk = Ak 1 i CBi . (6) i=0 Q. Hu, D. Cheng / Applied Mathematics Letters 19 (2006) 859–864 861 Proof. We prove this by mathematical induction. When k = 1, it is exactly Eq. (1).Assume (6) holds for k ≤ N,i.e. N−1 − − AN X − XBN = AN 1 i CBi . (7) i=0 After left-multiplying by A and right-multiplying by B on both sides of (7),weget N−1 + − − AN 1 X − AXBN = A AN 1 i CBi (8) i=0 and N−1 + − − AN XB− XBN 1 = AN 1 i CBi B. (9) i=0 Adding (8) to (9),weachieve N−1 N−1 + + − − − − AN 1 X − XBN 1 + AN XB− AXBN = A AN 1 i CBi + AN 1 i CBi B. (10) i=0 i=0 Therefore, + + AN 1 X − XBN 1 N−1 N−1 − − − + = AN i CBi + AN 1 i CBi 1 + AXBN − AN XB i=0 i=0 N−1 N−1 − − − + − − = AN i CBi + AN 1 i CBi 1 − A(AN 1 X − XBN 1)B i=0 i=0 N−1 N−1 N−2 − − − + − − = AN i CBi + AN 1 i CBi 1 − A AN 2 i CBi B i=0 i=0 i=0 (11) N−1 N−1 N−2 − − − + − − + = AN i CBi + AN 1 i CBi 1 − AN 1 i CBi 1 i=0 i=0 i=0 N−1 − = AN i CBi + CBN i=0 N − = AN i CBi . i=0 η( , , , ) k k−i i Define k A C B i=0 A CB ;thenthe equality (6) can be written in a compact form as Ak X − XBk = η(k − 1, A, C, B). (12) So, we have n n k k k k βk(A X − XB ) = βk(A X − XB ) + β0(X − X) k=1 k=1 n n k k = βk A X + β0 X − βk XB + β0 X (13) k=1 k=1 n n k k = βk A + β0 Im X − X βk B + β0 In k=1 k=1 = q(A)X − Xq(B) = q(A)X. 862 Q. Hu, D. Cheng / Applied Mathematics Letters 19 (2006) 859–864 On the other hand, n n k k βk(A X − XB ) = βkη(k − 1, A, C, B). (14) k=1 k=1 η( , , ) n β η( − , , , ) η( , , ) Define A C B k=1 k k 1 A C B .Itisobvious that A C B is a polynomial of the matrices A, B and C.And this polynomial is determined by the coefficient matrices and the characteristic polynomial of B, which means that for each Sylvester equation of the form (1) there is a uniquely determined polynomial η(A, C, B) of its coefficient matrices. Consequently, we get the following equation: q(A)X = η(A, C, B). (15) Theorem 2.2. If A and B have no common eigenvalue, then (15) is equivalent to (1). Proof. (⇒): It was proved in the aforementioned argument. (⇐): Suppose X is a solution of (15);then A(q(A)X) − (q(A)X)B = q(A)(AX − XB) = Aη(A, C, B) − η(A, C, B)B. Moreover, Aη(A, C, B) − η(A, C, B)B n i−1 n i−1 i−1− j j i−1− j j = A βi A CB − βi A CB B = = = = i 0 j 0 i 0 j 0 n i−1 n i−1 i− j j i−1− j j+1 = βi A CB − βi A CB = = = = i 0 j 0 i 0 j 0 (16) n i−1 i−1 i− j j i−1− j j+1 = βi A CB − A CB i=0 j=0 j=0 n n n i i i i = βi (A C − CB ) = βi A C − C βi B i=0 i=0 i=0 = q(A)C − Cq(B) = q(A)C. That is, q(A)(AX − XB) = q(A)C. Since q(s) is thecharacteristic polynomial of B and A and B have no common eigenvalue, q(A) is nonsingular. (1) follows. Proposition 2.3. In the case of σ(A) σ(B) = ∅ the solution of the Sylvester equation (1) is − X = q(A) 1η(A, C, B), (17) which is a polynomial of the matrices A, B, and C. −1 Proof. We have only to show that q(A) η(A, C, B) is a polynomial of A, B and C.Itfollows that what need to ( )−1 ( ) ( ) = m γ k show is that q A is a polynomial of A.Let the characteristic polynomial of q A be f s k=0 ks where γm = 1. Since q(A) is invertible, we claim that γ0 = 0.
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