An iterative algorithm for solving coupled algebraic Lyapunov equations appearing in discrete-time linear systems with Markovian transitions is established. The algorithm is computationally efficient since it can obtain the solution within finite steps in absence of round-off errors. Another feature of the proposed algorithm is that it can be implemented by using original coeffiecient matrices. A numerical example is given to show the effectiveness of the proposed algorithm.
Inspec keywords: discrete time systems; Lyapunov methods; Markov processes; linear systems; iterative methods
Other keywords:
Subjects: Stability in control theory; Interpolation and function approximation (numerical analysis); Discrete control systems; Markov processes
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