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Suppose an LTI discrete-time system is given by the equations $$ x_{k+1} = Ax_k + Bu_k,\\ y_{k} = Cx_k + Du_k $$ with $x_k\in\mathbb{R}^{m}$, $y_k\in\mathbb{R}^{n}$ and $u_k\in\mathbb{R}^{p}$ and $\...

I have seen outlined in this comment os mathoverflow how to solve quadratic matrix equations of the form $$ XCX + AX = I $$ where $X \in \mathbb{R}^{n\times n}$, $C = C^T > 0 \in \mathbb{R}^{n\...