Consider the system setup in the Observability Problem with Transition MatrixΦA, we define the Observability Gramian as: M(t0,t1)=t0∫t1ΦA⊤(τ,t0)C⊤(τ)C(τ)ΦA(τ,t0)dτ
Let M(t0,t1) be the Observability Gramian for an LTVC System on the pair (t0,t1). It has the following properties: 1. M(t0,t1) is symmetric and positive semidefinite for t1>t0. 2. M satisfies the matrix differential equation: ⎩⎨⎧dtdM(t,t1)=A(t)M(t,t1)+M(t,t1)A⊤(t)−C(t)C⊤(t)M(t1,t1)=0 3. M satisfies M(t0,t1)=M(t0,t)+ΦA⊤(t,t0)M(t,t1)ΦA(t,t0)