CEC Faculty Articles

Title

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

Event Date/Location

Los Angeles, CA

Document Type

Article

Date

12-1987

Publication Title

Proceedings of the 26th Conference on Decision and Control

ISSN or ISBN

0191-2216

First Page

1171

Last Page

1173

Description

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

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