Numerical solution of the matrix equation AX + XAT+ B = 0
P. Smith · IEEE Transactions on Automatic Control · 1971
A recursive algorithm is shown to solve the above equation accurately for large (n \leq 146), lightly damped (\zeta \geq 10^{-3}) systems. About2.5n^{2}storage locations are required, and about2.5n^{3}multiplications are performed per recursion, ten recursions being typical.