The Covariance Extension Equation: A Riccati-Type Approach to Analytic Interpolation
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Publication:6077151
DOI10.1109/TAC.2021.3122367arXiv2010.07081OpenAlexW3210636106MaRDI QIDQ6077151FDOQ6077151
Authors: Anders Lindquist 
Publication date: 25 September 2023
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/2010.07081
spectral estimationrobust controlmodel reductionmoment problemsanalytic interpolationsensitivity shaping
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