Creator:

Enqvist, Per

Contributor:

Campbell, Stephen L. - ed.

Title:

A homotopy approach to rational covariance extension with degree constraint

Subtitle:

Numerical Analysis and Systems Theory

Group publication title:

AMCS, volume 11 (2001)

Subject and Keywords:

stochastic realization theory ; rational covariance extension problem ; ARMA model design ; continuation method ; optimization

Abstract:

The solutions to the Rational Covariance Extension Problem (RCEP) are parameterized by the spectral zeros. The rational filter with a specified 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 modification of the optimization problem to avoid the ill-conditioning is proposed and the modified problem is solved efficiently by a continuation method.

Publisher:

Zielona Góra: Uniwersytet Zielonogórski

Date:

2001

Resource Type:

artykuł

Pages:

1173-1201

Source:

AMCS, volume 11, number 5 (2001) ; click here to follow the link

Language:

eng

License CC BY 4.0:

click here to follow the link

Rights:

Biblioteka Uniwersytetu Zielonogórskiego