CEC Faculty Articles

Title

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

Document Type

Article

Date

5-1989

Publication Title

IEEE Transactions on Automatic Control

ISSN or ISBN

0018-9286

Volume

34

Issue

5

First Page

548

Last Page

551

Description

Recent results concerning cross Grammians for both SlSO and symmetric MIMO systems are extended for time-invariant 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 symmetry properties similar to those of the cross Grammian are introduced, along with their connection to balanced stochastic realizations.

DOI

10.1109/9.24212

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