On the Factorization of Rational Discrete-Time Spectral Densities

DOI10.1109/TAC.2015.2446851MaRDI QIDQ2980602zbMATH OpenOpenAlexFDO

Authors Giacomo Baggio, Augusto Ferrante

Publication date 3 May 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1410.0765

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Algebraic methods (93B25) Realizations from input-output data (93B15)

Abstract: In this paper, we consider an arbitrary matrix-valued, rational spectral density $Phi(z)$. We show with a constructive proof that $Phi(z)$ admits a factorization of the form $Phi(z)=W^{o}p(z^{-1})W(z)$, where $W(z)$ is stochastically minimal. Moreover, $W(z)$ and its right inverse are analytic in regions that may be selected with the only constraint that they satisfy some symplectic-type conditions. By suitably selecting the analyticity regions, this extremely general result particularizes into a corollary that may be viewed as the discrete-time counterpart of the matrix factorization method devised by Youla in his celebrated work (Youla, 1961).

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