A Homotopy Approach to Rational Covariance Extension With Degree Constraint

• Autorzy: Enqvist P.
• 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; rational covariance extension problem; ARMA model design; continuation method; optimization

PL

zagadnienie optymalizacji; model ARMA; metoda kontynuacyjna

• Wydawca: Oficyna Wydawnicza Uniwersytetu Zielonogórskiego
• Czasopismo: International Journal of Applied Mathematics and Computer Science
• Rocznik: 2001
• Tom: Vol. 11, no. 5
• Strony: 1173--1201
• Opis fizyczny: Bibliogr. 23 poz., rys., wykr.

Twórcy

autor

Enqvist P.

• Division of Optimization and Systems Theory, Royal Institute of Technology, Lindstedtsv. 25 SE 100 44 Stockholm, Sweden,

Bibliografia

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Uwagi

This research was supported by grants from the Swedish Research Council for Engineering Sciences (TFR).