Bounds on the solution of the time-varying linear matrix differential equation P(t) = AH(t)P(t) plus P(t)A(t) plus Q(t)
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abstract
We derive upper and lower bounds for the trace of the solution of the time-varying linear matrix differential equation P(t) = A H(t)P(t) + P(t)A(t) + Q(t). The bounds obtained are useful since the considered equation is encountered in a number of applications in systems and control theory.
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2004 43rd IEEE Conference on Decision and Control (CDC) (IEEE Cat. No.04CH37601)