39. Lyapunov equation#
This page needs to be built, with some general results about Lyapunov equation, its solution,… some material is already here, but not structurally organized…
References.
Lyapunov equation of the correlation matrix, and its general solution
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Examples.
Controllability Gramian
Observability Gramian
In optimal control
Variance of the state in linear system forced by white Gaussian noise
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