On a numerical method of solving the Lyapunov and Sylvester equations
M. B. Subrahmanyam · International Journal of Control · 1986
We present a numerical method of solving the time-varying Lyapunov and Sylvester matrix differential equations. The method is easy to program, fast, and accurate. It is shown that the error of computation is O(Δt 3) where Δt is the interval of computation. Two examples are given.