scipy.linalg.solve_discrete_lyapunov¶
- scipy.linalg.solve_discrete_lyapunov(a, q)[source]¶
Solves the Discrete Lyapunov Equation (A’XA-X=-Q) directly.
New in version 0.11.0.
Parameters: a : (M, M) array_like
A square matrix
q : (M, M) array_like
Right-hand side square matrix
Returns: x : ndarray
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