Conditioning of the stable, discrete-time Lyapunov operator

Citation
Mk. Tippett et al., Conditioning of the stable, discrete-time Lyapunov operator, SIAM J MATR, 22(1), 2000, pp. 56-65
Citations number
23
Categorie Soggetti
Mathematics
Journal title
SIAM JOURNAL ON MATRIX ANALYSIS AND APPLICATIONS
ISSN journal
08954798 → ACNP
Volume
22
Issue
1
Year of publication
2000
Pages
56 - 65
Database
ISI
SICI code
0895-4798(20000620)22:1<56:COTSDL>2.0.ZU;2-C
Abstract
The Schatten p-norm condition of the discrete-time Lyapunov operator L-A de fined on matrices P is an element of R-nxn by LAP = P - APA(T) is studied f or stable matrices A is an element of R-nxn. Bounds are obtained for the no rm of L-A and its inverse that depend on the spectrum, singular values, and radius of stability of A. Since the solution P of the discrete-time algebr aic Lyapunov equation ( DALE) LAP = Q can be ill-conditioned only when eith er L-A or Q is ill-conditioned, these bounds are useful in determining whet her P admits a low-rank approximation, which is important in the numerical solution of the DALE for large n.