On structural properties of the Lyapunov matrix equation for optimal diagonal solutions

Abstract:

We revisit the classical problem of finding a positive diagonal solution P to the Lyapunov equation AT P + PA < 0 that minimizes the Lyapunov exponent (the maximum eigenvalue of AT P + PA) for A ∈ Rn×n, with the aim of identifying structural properties of the Lyapunov matrix equation at the optimum. Using eigenvalue sensitivity notions together with optimization machinery, we are able to obtain an explicit characterization of the minimum Lyapunov exponent that provides such structural insight. © 2009 IEEE.

Año de publicación:

2009

Keywords:

• Lyapunov exponent

Fuente:

scopus