Title :
On the solution of the discrete-time Lyapunov matrix equation in controllable canonical form
Author :
Bitmead, Robert R. ; Weiss, Haim
Author_Institution :
University of Newcastle, New South Wales, Austrailia
fDate :
6/1/1979 12:00:00 AM
Abstract :
The solution to the discrete-time Lyapunov matrix equation in controllable canonical form is shown to be the inverse of the Schur-Cohn matrix. A simple constructive procedure of Berkhout, based on the backwards Levinson algorithm is discussed and an application of the result in stochastic control is mentioned.
Keywords :
Linear systems, stochastic discrete-time; Lyapunov matrix equations; Covariance matrix; Eigenvalues and eigenfunctions; Equations; Linear systems; Polynomials; Random processes; Stability; State-space methods; Symmetric matrices; White noise;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1979.1102064
