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Results tagged with linear-algebra
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user 4185
Questions on the algorithmic/computational aspects of linear algebra, including the solution of linear systems, least squares problems, eigenproblems, and other such matters.
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On solution of a class of discrete-time Lyapunov equation for systems with multiplicaitve noise
Let's consider the following equation
$$X=F_{1}XF_{1}^{T}+...+F_{p}XF_{p}^{T}+C$$
where $p$ is an positive integer and $C$ is a known positive semidefinite matrix. If we augment $F=[F_{1}...F_{p}]$ an …
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