Message-ID: <ed24494f1001290447m4ddde914j2bf19f0bd23efcba@mail.gmail.com>
Date: 2010-01-29T12:47:23Z
From: Giuseppe
Subject: Lyapunov Discrete Time Equation
Dear all,
I need to solve the following Lyapunov Matrix equation:
C=ACA' + B,
with A and B given square symmetric matrices. Does anyone knows of a
package that can solve the lyapunov matrix equation in R? Or even a
C/Fortran implementation? I did not find one on netlib.
Thank you.