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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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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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