Stationary discrete-time covariance factorization using Newton-Raphson iteration

DOI10.1007/BF01211561zbMath0760.93052OpenAlexW2071528895MaRDI QIDQ1192596

Langford B. White, Brian D. O. Anderson

Publication date: 27 September 1992

Published in: MCSS. Mathematics of Control, Signals, and Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01211561

zbMATH Keywords

spectral factorizationcovariance functionWiener-Hopf equationsNewton-Raphson procedureerror localizationcovariance factorization

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55)

Cites Work

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• Factorization of matrix functions and singular integral operators
• Identifiability of linear stochastic systems operating under linear feedback
• The Laurent Factorization of Operatorvalued Functions
• On the continuity of the Wiener-Hopf factorization operation
• Covariance factorization via Newton-Raphson iteration
• Second-order convergent algorithms for the steady-state Riccati equation†