A homotopy approach to rational covariance extension with degree constraint
International Journal of Applied Mathematics and Computer Science (2001)
- Volume: 11, Issue: 5, page 1173-1201
- ISSN: 1641-876X
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topEnqvist, Per. "A homotopy approach to rational covariance extension with degree constraint." International Journal of Applied Mathematics and Computer Science 11.5 (2001): 1173-1201. <http://eudml.org/doc/207550>.
@article{Enqvist2001,
abstract = {The solutions to the Rational Covariance Extension Problem (RCEP) are parameterized by the spectral zeros. The rational filter with a specified numerator solving the RCEP can be determined from a known convex optimization problem. However, this optimization problem may become ill-conditioned for some parameter values. A modification of the optimization problem to avoid the ill-conditioning is proposed and the modified problem is solved efficiently by a continuation method.},
author = {Enqvist, Per},
journal = {International Journal of Applied Mathematics and Computer Science},
keywords = {stochastic realization theory; continuation method; ARMA model design; optimization; rational covariance extension problem; ARMA-model design; degree constraint; ill-conditioning},
language = {eng},
number = {5},
pages = {1173-1201},
title = {A homotopy approach to rational covariance extension with degree constraint},
url = {http://eudml.org/doc/207550},
volume = {11},
year = {2001},
}
TY - JOUR
AU - Enqvist, Per
TI - A homotopy approach to rational covariance extension with degree constraint
JO - International Journal of Applied Mathematics and Computer Science
PY - 2001
VL - 11
IS - 5
SP - 1173
EP - 1201
AB - The solutions to the Rational Covariance Extension Problem (RCEP) are parameterized by the spectral zeros. The rational filter with a specified numerator solving the RCEP can be determined from a known convex optimization problem. However, this optimization problem may become ill-conditioned for some parameter values. A modification of the optimization problem to avoid the ill-conditioning is proposed and the modified problem is solved efficiently by a continuation method.
LA - eng
KW - stochastic realization theory; continuation method; ARMA model design; optimization; rational covariance extension problem; ARMA-model design; degree constraint; ill-conditioning
UR - http://eudml.org/doc/207550
ER -
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