Geodesic
A Homotopy Approach to Rational Covariance Extension With Degree Constraint
International Journal of Applied Mathematics and Computer Science, Tome 11 (2001) no. 5, pp. 1173-1201 Cet article a éte moissonné depuis la source Library of Science

Voir la notice de l'article

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.
Keywords: stochastic realization theory, rational covariance extension problem, ARMA model design, continuation method, optimization
Mots-clés : optymalizacja, teoria systemów 
@article{IJAMCS_2001_11_5_a7,
     author = {Enqvist, P.},
     title = {A {Homotopy} {Approach} to {Rational} {Covariance} {Extension} {With} {Degree} {Constraint}},
     journal = {International Journal of Applied Mathematics and Computer Science},
     pages = {1173--1201},
     year = {2001},
     volume = {11},
     number = {5},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/IJAMCS_2001_11_5_a7/}
}
TY  - JOUR
AU  - Enqvist, P.
TI  - A Homotopy Approach to Rational Covariance Extension With Degree Constraint
JO  - International Journal of Applied Mathematics and Computer Science
PY  - 2001
SP  - 1173
EP  - 1201
VL  - 11
IS  - 5
UR  - http://geodesic.mathdoc.fr/item/IJAMCS_2001_11_5_a7/
LA  - en
ID  - IJAMCS_2001_11_5_a7
ER  - 
%0 Journal Article
%A Enqvist, P.
%T A Homotopy Approach to Rational Covariance Extension With Degree Constraint
%J International Journal of Applied Mathematics and Computer Science
%D 2001
%P 1173-1201
%V 11
%N 5
%U http://geodesic.mathdoc.fr/item/IJAMCS_2001_11_5_a7/
%G en
%F IJAMCS_2001_11_5_a7
Enqvist, P. A Homotopy Approach to Rational Covariance Extension With Degree Constraint. International Journal of Applied Mathematics and Computer Science, Tome 11 (2001) no. 5, pp. 1173-1201. http://geodesic.mathdoc.fr/item/IJAMCS_2001_11_5_a7/