32
The controllability gramian T5 and observability gramian Q are defined via
P = [ eA4BB*eA’X Q = [ еА‘‘С*СеА‘сЙ,
Jo Jo
but typically are computed as solutions to the Lyapunov equations
AP + PA* + BB* = O, A*Q+QA + C*C = O.
We gather the Cholesky factors of the gramians,
P = UU*, and Q = LL*,
and compute the singular value decomposition of the mixed product
U*L = ZYY*.
Here Σ is a diagonal matrix whose entries are the eigenvalues of U* QU, Z is an or-
thogonal matrix whose columns are the eigenvectors of U* QU, and Y is an orthogonal
matrix whose columns are the eigenvectors of L*PL (for details on the SVD1 see (Tre-
fethen and Bau, 1997)). The diagonal elements of Σ, nonnegative and in descending
order, are known as the Hankel Singular Values (HSVs) of the dynamical system
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