A homotopy approach to rational covariance extension with degree constraint

• Autorzy: Per Enqvist
• Języki publikacji: EN

Abstrakty

EN

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.

Słowa kluczowe

EN

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

• Wydawca: University of Zielona Gora Press
• Czasopismo: International Journal of Applied Mathematics and Computer Science
• Rocznik: 2001
• Tom: 11
• Numer: 5
• Strony: 1173-1201

Daty

wydano

2001

Twórcy

autor

Per Enqvist

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

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