Factoring spectral matrices in linear-quadratic models (Q2277545): Difference between revisions

Let \(\Gamma =\Gamma (z)\) be a matrix function where \(z\) is on the unit circle, and assume \(\Gamma^*=\Gamma\). The authors give an algorithm to find a matrix function \(C=C(z)\) that is analytic and invertible on the unit disk and such that \(CC^*=\Gamma\), provided there is a not necessarily invertible matrix function \(F=F(z)\) such that \(FF^*=\Gamma\). This problem arises in linear-quadratic stochastic control problems.