|
|||||
|
|
Finite iterative algorithm for solving coupled Lyapunov equations appearing in continuous-time Markov jump linear systems |
|
| Authors: | Ai-Guo Wu Lin Tong Guang-Ren Duan |
| Affiliation: | 1. Shenzhen Graduate School, Harbin Institute of Technology , Shenzhen 518055 , P. R. China ag.wu@163.com;3. Shenzhen Graduate School, Harbin Institute of Technology , Shenzhen 518055 , P. R. China;4. Center for Control Theory and Guidance Technology, Harbin Institute of Technology , Harbin 150001 , P. R. China |
| Abstract: | An iterative algorithm for solving coupled algebraic Lyapunov equations appearing in continuous-time linear systems with Markovian transitions is established. The algorithm is computationally efficient since it can obtain the solution within finite steps in the absence of round-off errors. |
| Keywords: | finite iteration coupled Lyapunov matrix equations orthogonality |