The Covariance Extension Equation: A Riccati-Type Approach to Analytic Interpolation

DOI10.1109/TAC.2021.3122367MaRDI QIDQ6077151zbMATH OpenOpenAlexFDO

Authors Anders Lindquist

Publication date 25 September 2023

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

Full work available at URL https://arxiv.org/abs/2010.07081

zbMATH Keywords

spectral estimation robust control model reduction moment problems analytic interpolation sensitivity shaping

Mathematics Subject Classification ID

Systems theory; control (93-XX)

Abstract: Analytic interpolation problems with rationality and derivative constraints are ubiquitous in systems and control. This paper provides a new method for such problems, both in the scalar and matrix case, based on a non-standard Riccati-type equation. The rank of the solution matrix is the same as the degree of the interpolant, thus providing a natural approach to model reduction. A homotopy continuation method is presented and applied to some problems in modeling and robust control. We also address a question on the positive degree of a covariance sequence originally posed by Kalman.

Cited in

(1)

Spectral Factorization of Rank-Deficient Rational Densities

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