Stationary discrete-time covariance factorization using Newton-Raphson iteration

DOI10.1007/BF01211561MaRDI QIDQ1192596zbMATH OpenOpenAlexFDO

Authors 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

covariance functionspectral factorizationWiener-Hopf equationsNewton-Raphson procedureerror localizationcovariance factorization

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55)

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Cites work

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

Cited in

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• Optimization with respect to covariance sequence parameters

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