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

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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.
Keywords: stochastic realization theory, rational covariance extension problem, ARMA model design, continuation method, optimization
Mots-clés : optymalizacja, teoria systemów 
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/
@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/}
}
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