Rigorous computational proof of Hurwitz stability for a matrix by Lyapunov equation
Abstract
It is well-known that a matrix $A$ is Hurwitz stable if and only if there exists a positive definite solution to the Lyapunov matrix equation $A X + X A^* = B$, where $B$ is Hermitian negative definite. We present a verified numerical algorithm to rigorously prove the stability of a given matrix $A$ in the presence of rounding errors. The computational cost of the algorithm is cubic and it is fast since we can cast almost all operations in level 3 BLAS for which interval arithmetic can be implemented very efficiently. This is a joint work with Andreas Frommer and the results are already published in ETNA in 2013.