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Title: A homotopy approach to rational covariance extension with degree constraint

Creator:

Enqvist, Per

Date:

2001

Resource Type:

artykuł

Contributor:

Campbell, Stephen L. - ed.

Subtitle:

Numerical Analysis and Systems Theory

Group publication title:

AMCS, volume 11 (2001)

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

Resource Identifier:

oai:zbc.uz.zgora.pl:58808

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

Subject and keywords:

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

Object collections:

Last modified:

Jul 14, 2025

In our library since:

Jul 22, 2021

Number of object content hits:

127

All available object's versions:

https://www.zbc.uz.zgora.pl/publication/65593

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A homotopy approach to rational covariance extension with degree constraint Jul 14, 2025

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