Control System Toolbox

dlyapchol

Square-root solver for continuous-time Lyapunov equations

Syntax

• R = dlyapchol(A,B)
  R = dlyapchol(A,B,E)
  

Description

R = dlyapchol(A,B) computes a Cholesky factorization X = R'*R of the solution X to the Lyapunov matrix equation:

• A*X*A'- X + B*B' = 0
  

All eigenvalues of A matrix must lie in the open unit disk for R to exist.

X = dlyapchol(A,B,E) computes a Cholesky factorization X = R'*R of X solving the Sylvester equation

• A*X*A' - E*X*E' + B*B' = 0
  

All generalized eigenvalues of (A,E) must lie in the open unit disk for R to exist.

Algorithm

dlyapchol uses SLICOT routines SB03OD and SG03BD.

See Also
dlyap       Solver for discrete-time Lyapunov equations

lyapchol    Square-root solver for continuous-time Lyapunov equations

dlyap

drss

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