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

Ai-Guo Wu, Lin Tong and Guang-Ren Duan

International Journal of Systems Science, 2013, vol. 44, issue 11, 2082-2093

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.

Date: 2013
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DOI: 10.1080/00207721.2012.684900

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