"><B><FONT SIZE="+1">Method</FONT></B></A>
<PRE>
  Let Pi = Si*Si' and Qo = Ro'*Ro be the Cholesky factored
  controllability and observability Grammians satisfying
  in the continuous-time case

         Ai*Pi + Pi*Ai' +  scalec^2*Bi*Bi' = 0,       (1)

         Ao'*Qo + Qo*Ao +  scaleo^2*Co'*Co = 0,       (2)

  and in the discrete-time case

         Ai*Pi*Ai' - Pi +  scalec^2*Bi*Bi' = 0,       (3)

         Ao'*Qo*Ao - Qo +  scaleo^2*Co'*Co = 0,       (4)

  where

        Ai = ( A  B*Cw ) ,   Bi = ( B*