The Majorant Lyapunov Equation: A Nonnegative Matrix Equation for Robust Stability and Performance of Large Scale Systems

A new robust stability and performance analysis technique is developed. The approach involves replacing the state covariance by its block-norm matrix, i.e., the nonnegative matrix whose elements are the norms of subblocks of the covariance matrix partitioned according to subsystem dynamics. A bound (i.e., majorant) for the block-norm matrix is given by the majorant Lyapunov equation, a Lyapunov-type nonnegative matrix equation. Existence, uniqueness and computational tractability of solutions to the majorant Lyapunov equation are shown to be completely characterized in terms of M matrices. As an example, a pair of nominally uncoupled oscillators with uncertain coupling is considered. The majorant Lyapunov equation shows that the range of nondestabilizing couplings is proportional to the frequency separation between the oscillators, a result not predictable from quadratic or vector Lyapunov functions.

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