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On the simultaneous realization problem - Markov-parameter and covariance interpolation
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Optimization and Systems Theory.
2006 (English)In: Signal Processing, ISSN 0165-1684, E-ISSN 1872-7557, Vol. 86, no 10, 3043-3054 p.Article in journal (Refereed) Published
Abstract [en]

An efficient algorithm for determining the unique minimal and stable realization of a window of Markov parameters and covariances is derived. The main difference compared to the Q-Markov COVER theory is that here we let the variance of the input noise be a variable, thus avoiding a certain data consistency criterion. First, it is shown that maximizing the input variance of the realization over all interpolants yields a minimal degree solution-a result closely related to maximum entropy. Secondly, the state space approach of the Q-Markov COVER theory is used for analyzing the stability and structure of the realization by straightforward application of familiar realization theory concepts, in particular the occurrence of singular spectral measures is characterized.

Place, publisher, year, edition, pages
2006. Vol. 86, no 10, 3043-3054 p.
Keyword [en]
realization theory, moment interpolation problems, covariances, Markov, parameters, Q-Markov COVERs, entropy, duality theory, auto-correlation sequences, equivalent realizations, linear-systems, identification, approximation
National Category
Signal Processing
URN: urn:nbn:se:kth:diva-15873DOI: 10.1016/j.sigpro.2006.01.001ISI: 000239363900045ScopusID: 2-s2.0-33745726086OAI: diva2:333915
QC 20100525 20120224Available from: 2010-08-05 Created: 2010-08-05 Last updated: 2012-02-24Bibliographically approved

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