A New Procedure for Stochastic Realization of Spectral Density Matrices

DOI10.1137/0322053MaRDI QIDQ3343886zbMATH OpenOpenAlexFDO

Authors Jan C. Willems, Arjan van der Schaft

Publication date 1984

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0322053

zbMATH Keywords

spectral densityRiccati equationstochastic realization

Mathematics Subject Classification ID

Gaussian processes (60G15) Stationary stochastic processes (60G10) Stochastic systems in control theory (general) (93E03) Realizations from input-output data (93B15)

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(3)

• Spectral factorization via Hermitian pencils
• Structured doubling algorithms for weakly stabilizing Hermitian solutions of algebraic Riccati equations
• Spectral factorizations with unmixed pole and zero sets

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