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Solution of the bilinear matrix equation using Astrom-Jury-Agniel algorithm

Solution of the bilinear matrix equation using Astrom-Jury-Agniel algorithm

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A simple recursive method is proposed for the computation of the solution to the bilinear matrix equation. Algorithms are presented for both continuous and discrete time bilinear matrix equations. The method is based on an extension of the Astrom-Jury-Agniel algorithm. The proposed technique is illustrated by numerical examples and is compared in terms of efficiency against the Bartels-Stewart method.

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