EIGENVALUE BOUNDS ON THE SOLUTIONS OF COUPLED LYAPUNOV AND RICCATI EQUATIONS

摘要

Coupled Lyapunov and Riccati equations of the form P=(j=0)Sigma(q)A(j)PA(j)(T)+GG(T), Q=(A(0)-KC0)Q(A(0)-KC0)(T)+(j=1)Sigma(q)A(j)PA(j)(T)+GG(T) +K-m=1(Sigma(r)C(m)PC(m)(T)+DDT)K-T arise in the estimation problem of stochastic systems corrupted by additive and multiplicative noise. The matrices P and Q are the steady-state and estimation error covariances. In this paper trace and eigenvalue bounds for P and Q are established. [References: 15]