A Note on a Cross Riccatian and Related Properties for Symmetric Stochastic Realizations

Author(s)

Jose A. Ramos, Nova Southeastern UniversityFollow
Erik I. Verriest

Document Type

Article

Publication Title

Proceedings of the 26th Conference on Decision and Control

Event Date/Location

Los Angeles, CA

ISSN

0191-2216

Publication Date

12-1987

Abstract

Recent results concerning cross Grammians for both SISO and symmetric MIMO systems are extended for stochastic systems. The extension is based on a cross Riccatian matrix and several results from stochastic realization theory. It is shown that the cross Riccatian can be obtained from the solution to a cross Riccati equation carrying properties from both a forward and a backwards innovations representation. Other symmtry properties similar to those for the cross Grammian are introduced, along with connections to balanced stochastic realizations.

DOI

10.1109/CDC.1987.272595

First Page

1171

Last Page

1173

NSUWorks Citation

Ramos, Jose A. and Verriest, Erik I., "A Note on a Cross Riccatian and Related Properties for Symmetric Stochastic Realizations" (1987). CCE Faculty Articles. 382.
https://nsuworks.nova.edu/gscis_facarticles/382