Numerical Solution of the Stable, Non-negative Definite Lyapunov Equation Lyapunov Equation

1 July 1982

journal article
research article
Published by Oxford University Press (OUP) in IMA Journal of Numerical Analysis

Vol. 2 (3) , 303-323
https://doi.org/10.1093/imanum/2.3.303

Abstract

We discuss the numerical solution of the Lyapunov equation A^HX+XA=−C, C=C^H and propose a variant of the Bartels-Stewart algorithm that allows the Cholesky factor of X to be found, without first finding X, when A is stable and C is non-negative definite.

Keywords

STEWART
AHX
LYAPUNOV EQUATION
CHOLESKY
DEFINITE LYAPUNOV
BARTELS