scipy.linalg.solve_discrete_lyapunov¶
- scipy.linalg.solve_discrete_lyapunov(a, q)[source]¶
Solves the Discrete Lyapunov Equation (A’XA-X=-Q) directly.
Parameters : a : array_like
A square matrix
q : array_like
Right-hand side square matrix
Returns : x : array_like
Solution to the continuous Lyapunov equation
Notes
Algorithm is based on a direct analytical solution from: Hamilton, James D. Time Series Analysis, Princeton: Princeton University Press, 1994. 265. Print. http://www.scribd.com/doc/20577138/Hamilton-1994-Time-Series-Analysis
