An algorithm to solve matrix equations PH^{T} = G and P = φ P φT+ γγT
R.К. Mehra · IEEE Transactions on Automatic Control · 1970
An iterative algorithm is presented for the numerical solution of matrix equationsPH^{T} = GandP = \PhiP\Phi^{T} + \Gamma\Gamma^{T}, whereP \geq 0andG, H, and\Phiare given. These equations arise in various identification, network synthesis, and stability analysis problems.