MATLAB CONTROL SYSTEM TOOLBOX 9 Guide de l'utilisateur Page 432

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covar
11-42
and is given by
Note that is well defined for nonzero in the discrete case.
Limitations The state and output covariances are d efined for stable systems only. For
continuous systems, the output response covariance is finite only when the
matrix is zero ( strictly proper system).
See Also dlyap Solver for discrete-time Lyapunov equations
lyap Solver for continuous-time Lyapunov equations
References [1] Bryson, A.E. and Y.C. Ho, Applied Optimal Control, Hemisphere
Publishing, 1975, pp. 4 58-459.
P
PCQC
T
DWD
T
+=
P
D
P
D
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