The numerical solution of A'Q+QA = -C
W. D. Hoskins, D.S. Meek, D. Walton · IEEE Transactions on Automatic Control · 1977
A rapidly convergent algorithm is given which will solveA'Q + QA = -CforQwhenAis a stable matrix. The algorithm proposed requires only4n^{2}words of memory (for largen) and converges in approximately17n^{3} \mus where μ is the multiplication time of the computer andnis the order of the matrixA.