Distributed Algorithm for Discrete-Time Lyapunov Equations
Xia Jiang, Xianlin Zeng, Jian Qiao Sun, Jie Chen · 2018
This paper investigates the problem of solving a unique solution to discrete-time Lyapunov equations (DTLE) using multi-agent networks. We propose a distributed algorithm where each agent only uses partial information of the matrices. The agents of the algorithm reach a consensus by exchanging information with their neighbors over an undirected connected graph. We provide convergence analysis and the convergence rate estimate for the proposed algorithm. Finally, convergence performance is verified by numerical simulations.