A numerical solution of the matrix equation P = φ P φt+ S
C.S. Berger · IEEE Transactions on Automatic Control · 1971
A simple solution for the above matrix equation is given for the case when φ is in companion form. If φ is not in companion form, then only5 2/3 n^{3}multiplications are necessary for the required transformations and equation solution. Thus this correspondence offers an efficient computational alternative to methods already published.