A note on the Lyapunov equation (Q1362625): Difference between revisions

For the Lyapunov equation \({\mathcal L}_A (X): =AX+ XA^*= -W\), if \(A\) is stable, the operator \({\mathcal L}_A^{-1}\) exists and its norm is a measure of the sensitivity of the solution. The author shows that \[ |{\mathcal L}_A^{-1} |_{p \to p} \leq|H_* |^{1/p} |H |^{1-1/p}, \] where \(H= \int^\infty_0 e^{At} e^{A^*t} dt\), \(H_*= \int^\infty_0 e^{A^*t} e^{At} dt\), and \(|\cdot |_{p\to p} =\sup \{|\cdot (X)|_p\); \(|X|_p =1\}\).