Eigenvalue bounds on the solutions of coupled Lyapunov and Riccati equations

Κουϊκογλου Βασιλης(http://users.isc.tuc.gr/~vkouikoglou)
Kouikoglou Vasilis(http://users.isc.tuc.gr/~vkouikoglou)
Τσουρβελουδης Νικολαος(http://users.isc.tuc.gr/~ntsourveloudis)
Tsourveloudis Nikolaos(http://users.isc.tuc.gr/~ntsourveloudis)

DOI

Publisher

Elsevier BV

Abstract

Summarization: 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.Παρουσιάστηκε στο: Linear algebra and its application