Bounded Error Identification of Time-Varying Parameters by RLS Techniques

This note describes a simple method for efficiently estimatingthe dominant eigenvalues and eigenvectors of the solution to a Lyapunovequation, without firstsolving the equation explicitly. The method isbased on the power method and matrix-vector multiplications and isparticularly suitable for problems where those multiplications can be doneefflciently, such as where the coefficient matrices are large and sparse orlow-rank.The same idea is directly applicable to balanced-trupcationorder reduction of linear systems.