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The covariance extension equation revisited
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Optimization and Systems Theory.
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Optimization and Systems Theory.ORCID iD: 0000-0002-2681-8383
2005 (English)In: Proceedings of the 44th IEEE Conference on Decision and Control, and the European Control Conference, CDC-ECC '05, 2005, 7924-7930 p.Conference paper, Published paper (Refereed)
Abstract [en]

In this paper we study the steady state form of a discrete-time matrix Riccati-type equation, connected to the rational covariance extension problem and to the partial stochastic realization problem. This equation, however, is non-standard in that it lacks the usual kind of definiteness properties which underlie the solvability of the standard Riccati equation. Nonetheless, we prove the existence and uniqueness of a positive semidefinite solution. We also show that this equation has the proper geometric attributes to be solvable by homotopy continuation methods, which we illustrate in several examples.

Place, publisher, year, edition, pages
2005. 7924-7930 p.
Series
IEEE CONFERENCE ON DECISION AND CONTROL - PROCEEDINGS, ISSN 0191-2216
Keyword [en]
Matrix algebra, Problem solving, Random processes, Riccati equations, Covariance extension equation, Homotopy continuation methods, Partial stochastic realization, Discrete time control systems
National Category
Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-156302DOI: 10.1109/CDC.2005.1583443ISI: 000240653707097Scopus ID: 2-s2.0-33847215876ISBN: 0780395689 (print)ISBN: 9780780395688 (print)OAI: oai:DiVA.org:kth-156302DiVA: diva2:766591
Conference
44th IEEE Conference on Decision and Control, and the European Control Conference, CDC-ECC '05, 12 December 2005 through 15 December 2005, Seville, Spain
Note

QC 20141127

Available from: 2014-11-27 Created: 2014-11-26 Last updated: 2014-11-27Bibliographically approved

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Lindquist, Anders

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  • apa
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  • de-DE
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  • nn-NB
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  • Other locale
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Output format
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