A fast convergent numerical method for matrix sign function with application in SDEs
نویسندگان
چکیده
منابع مشابه
On a Cubically Convergent Iterative Method for Matrix Sign
We propose an iterative method for finding matrix sign function. It is shown that the scheme has global behavior with cubical rate of convergence. Examples are included to show the applicability and efficiency of the proposed scheme and its reciprocal.
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2015
ISSN: 0377-0427
DOI: 10.1016/j.cam.2014.12.041