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2001 | 11 | 5 | 1173-1201

Tytuł artykułu

A homotopy approach to rational covariance extension with degree constraint


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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.








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  • Division of Optimization and Systems Theory, Royal Institute of Technology, Lindstedtsv. 25, SE 100 Stockholm, Sweden


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