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A homotopy approach to rational covariance extension with degree constraint
KTH, Superseded Departments, Mathematics.
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
Abstract [en]

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.
Keyword [en]
stochastic realization theory, rational covariance extension problem, ARMA model design, continuation method, optimization
National Category
Computational Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-13171OAI: oai:DiVA.org:kth-13171DiVA: diva2:321472
Note
QC 20100601Available from: 2010-06-01 Created: 2010-06-01 Last updated: 2010-06-01Bibliographically approved
In thesis
1. Spectral Estimation by Geometric, Topological and Optimization Methods
Open this publication in new window or tab >>Spectral Estimation by Geometric, Topological and Optimization Methods
2001 (English)Doctoral thesis, comprehensive summary (Other scientific)
Place, publisher, year, edition, pages
Stockholm: KTH, 2001. xii, 32 p.
Series
Trita-MAT, ISSN 1401-2286 ; 01-OS-03
Keyword
Spectral Estimation, ARMA models, Covariance analysis, Cepstral analysis, Markov parameters, Global analysis, Convex Optimization, Continuation methods, Entropy maximization
National Category
Computational Mathematics
Identifiers
urn:nbn:se:kth:diva-3118 (URN)
Public defence
2001-04-06, 00:00 (English)
Note
QC 20100601Available from: 2001-03-29 Created: 2001-03-29 Last updated: 2010-06-01Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
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  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
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Output format
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  • text
  • asciidoc
  • rtf