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covar

11-42

and is given by

Note that is well defined for nonzero in the discrete case.

Limitations The state and output covariances are d efined for stable systems only. For

continuous systems, the output response covariance is finite only when the

matrix is zero ( strictly proper system).

See Also dlyap Solver for discrete-time Lyapunov equations

lyap Solver for continuous-time Lyapunov equations

References [1] Bryson, A.E. and Y.C. Ho, Applied Optimal Control, Hemisphere

Publishing, 1975, pp. 4 58-459.

PCQC

DWD