On the solution of the covariance matrix differential equation for singular systems

被引：7

作者：

Shafiee, M ^{[1
]}

Razzaghi, M

机构：

[1] Amirkabir Univ, Dept Elect Engn, Tehran, Iran

[2] Mississippi State Univ, Dept Math & Stat, Mississippi State, MS 39762 USA

[3] Amirkabir Univ, Dept Math, Tehran, Iran

来源：

INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS | 1998年 / 68卷 / 3-4期

关键词：

solution; covariance matrix; singular systems;

D O I：

10.1080/00207169808804700

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

State space formulation for singular linear stationary random inputs are presented. A covariance matrix differential equation is derived and a new technique for solving this equation using Kronecker product is included. An example is provided to illustrate the applicability of the proposed method.

引用

页码：337 / 343

页数：7

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