Iterative algorithms for solving continuous stochastic Lyapunov equations

DOI10.1049/IET-CTA.2016.0670MaRDI QIDQ7009008zbMATH OpenFDO

Authors Ai-Guo Wu, Xiaomei Wang, V. Sreeram

Publication date 20 March 2025

Published in IET Control Theory \& Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1049/IET-CTA.2016.0670

zbMATH Keywords

continuous stochastic Lyapunov equationscontinuous time systemscontinuous-time Itô stochastic systemsconvergence conditioncoupled Lyapunov equationsiterative algorithmiterative methodsLyapunov methodsMarkov processesMarkovian jump parametersmatrix algebrastochastic systemsunknown matrix variable estimation

Mathematics Subject Classification ID

Stochastic systems in control theory (general) (93E03)

Cites work

• A generalization of the Hermitian and skew-Hermitian splitting iteration method for solving Sylvester equations
• A modified gradient based algorithm for solving Sylvester equations
• A relaxed gradient based algorithm for solving Sylvester equations
• An implicit sequential algorithm for solving coupled Lyapunov equations of continuous-time Markovian jump systems
• Axiomatisations of the average and a further generalisation of monotonic sequences
• Convergence of gradient-based iterative solution of coupled Markovian jump Lyapunov equations
• Detectability and observability of discrete-time stochastic systems and their applications
• Gradient based iterative algorithm for solving coupled matrix equations
• Implicit Iterative Algorithms for Continuous Markovian Jump Lyapunov Equations
• Infinite horizon \(H_2/H_\infty\) control for stochastic systems with Markovian jumps
• Iterative least-squares solutions of coupled sylvester matrix equations
• Iterative solutions of coupled discrete Markovian jump Lyapunov equations
• New Iterative Algorithms for Solving Coupled Markovian Jump Lyapunov Equations
• Observability and detectability of discrete-time stochastic systems with Markovian jump
• On a Hermitian and skew-Hermitian splitting iteration method for continuous Sylvester equations
• On Iterative Solutions of General Coupled Matrix Equations
• On normal and skew-Hermitian splitting iteration methods for large sparse continuous Sylvester equations
• On positive-definite and skew-Hermitian splitting iteration methods for continuous Sylvester equation AX+XB=C
• On the detectability and observability of continuous stochastic Markov jump linear systems
• On the observability and detectability of linear stochastic systems with Markov jumps and multiplicative noise
• On unified concepts of detectability and observability for continuous-time stochastic systems
• Parallel computation of the solutions of coupled algebraic Lyapunov equations
• Positive operator based iterative algorithms for solving Lyapunov equations for Itô stochastic systems with Markovian jumps
• Recursive technique for computation of Gramians
• Reduced-rank gradient-based algorithms for generalized coupled Sylvester matrix equations and its applications
• Solution of the bilinear matrix equation using Astrom-Jury-Agniel algorithm
• Stability and robust stabilization to linear stochastic systems described by differential equations with markovian jumping and multiplicative white noise

This page was built for publication: Iterative algorithms for solving continuous stochastic Lyapunov equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7009008)