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Eigenvalue bounds on the solutions of coupled Lyapunov and Riccati equations

Kouikoglou Vasilis, Tsourveloudis Nikolaos

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URI: http://purl.tuc.gr/dl/dias/FB4AF9D9-6C09-4D81-A906-70CBDB3704D3
Year 1996
Type of Item Peer-Reviewed Journal Publication
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Bibliographic Citation V.S. Kouikoglou, N.C. Tsourveloudis ," Eigenvalue bounds on the solutions of coupled Lyapunov and Riccati equations," Linear algebra and its appl. ,vol. 235, pp.247-259,Mar. 1996.doi:10.1016/0024-3795(94)00145-6 https://doi.org/10.1016/0024-3795(94)00145-6
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Journal Publications in Community School of Production Engineering and Management

Summary

Coupled Lyapunov and Riccati equations of the form arise in the estimation problem of stochastic systems corrupted by additive and multiplicative noise. The matrices P and Q are the steady-state and estimation error covariances. In this paper trace and eigenvalue bounds for P and Q are established.

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