A homotopy approach to rational covariance extension with degree constraint
2001 (English)In: International journal of mathematics and computer science, ISSN 1641-876X, Vol. 11, no 5, 1173-1201 p.Article in journal (Refereed) Published
The solutions to the Rational Covariance Extension Problem (RCEP) are parameterized by the spectral zeros. The rational filter with a specied numerator solving the RCEP can be determined from a known convex optimization problem. However, this optimization problem may become ill-conditioned for some parameter values. A modication of the optimization problem to avoid the illconditioning is proposed and the modified problem is solved effciently by a continuation method.
Place, publisher, year, edition, pages
2001. Vol. 11, no 5, 1173-1201 p.
stochastic realization theory, rational covariance extension problem, ARMA model design, continuation method, optimization
IdentifiersURN: urn:nbn:se:kth:diva-13171OAI: oai:DiVA.org:kth-13171DiVA: diva2:321472
QC 201006012010-06-012010-06-012010-06-01Bibliographically approved