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Finite iterative algorithm for solving coupled Lyapunov equations appearing in continuous-time Markov jump linear systems

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  • Ai-Guo Wu
  • Lin Tong
  • Guang-Ren Duan

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.

Suggested Citation

  • Ai-Guo Wu & Lin Tong & Guang-Ren Duan, 2013. "Finite iterative algorithm for solving coupled Lyapunov equations appearing in continuous-time Markov jump linear systems," International Journal of Systems Science, Taylor & Francis Journals, vol. 44(11), pages 2082-2093.
    • Handle: RePEc:taf:tsysxx:v:44:y:2013:i:11:p:2082-2093
    DOI: 10.1080/00207721.2012.684900
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