EIGENVALUE BOUNDS ON THE SOLUTIONS OF COUPLED LYAPUNOV AND RICCATI-EQUATIONS

Authors
KOUIKOGLOU VS TSOURVELOUDIS NC
Citation
Vs. Kouikoglou et Nc. Tsourveloudis, EIGENVALUE BOUNDS ON THE SOLUTIONS OF COUPLED LYAPUNOV AND RICCATI-EQUATIONS, Linear algebra and its applications, 235, 1996, pp. 247-259
Citations number
15
Categorie Soggetti
Mathematics,Mathematics
Journal title
Linear algebra and its applications → ACNP
ISSN journal
00243795
Volume
235
Year of publication
1996
Pages
247 - 259
Database
ISI
SICI code
0024-3795(1996)235:<247:EBOTSO>2.0.ZU;2-D
Abstract
Coupled Lyapunov and Riccati equations of the form P=(j=0)Sigma(q)A(j) PA(j)(T)+GG(T), KC0)Q(A(0)-KC0)(T)+(j=1)Sigma(q)A(j)PA(j)(T)+GG(T) +K- m=1(Sigma(r)C(m)PC(m)(T)+DDT)K-T arise in the estimation problem of st ochastic systems corrupted by additive and multiplicative noise. The m atrices P and Q are the steady-state and estimation error covariances. In this paper trace and eigenvalue bounds for P and Q are established .