On Lower Bound of Anisotropic Norm*

The anisotropic norm of a linear discrete time invariant system is a measure of system output sensitivity to stationary Gaussian input disturbances with mean anisotropy bounded by some nonnegative parameter. The mean anisotropy characterizes the predictability (or coloredness) degree of stochastic signal. The anisotropic norm of a system is an induced norm, limiting cases of which are H2- and H∞-norms as a → 0 and a → ∞, respectively. In Vladimirov et al. (1996) a method for numerical computation of the anisotropic norm was proposed. This method involves cross-coupled Riccati and Lyapunov equations and associated special type equation. Another method for anisotropic norm computation via LMI-based approach was proposed in Tchaikovsky & Kurdyukov (2006). This paper develops a new method for getting the lower bound for anisotropic norm by linear algebra standard methods.