Control System Toolbox

lyapchol

Square-root solver for continuous-time Lyapunov equations

Syntax

• R = lypachol(A,B)
  R = lyapchol(A,B,E)
  

Description

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

• A*X + X*A' + B*B' = 0
  

All eigenvalues of matrix A must lie in the open left half-plane for R to exist.

X = lyapchol(A,B,E) computes a Cholesky factorization X = R'*R of X solving the generalized Lyapunov equation:

• A*X*E' + E*X*A' + B*B' = 0
  

All generalized eigenvalues of (A,E) must lie in the open left half-plane for R to exist.

Algorithm

lyapchol uses SLICOT routines SB03OD and SG03BD.

See Also
lyap        Solver for continuous-time Lyapunov equations

dlyapchol   Square-root solver for discrete-time Lyapunov equations

lyap

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