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A homotopy approach to rational covariance extension with degree constraint

Per Enqvist (2001)

International Journal of Applied Mathematics and Computer Science

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.

A hybrid method for nonlinear least squares that uses quasi-Newton updates applied to an approximation of the Jacobian matrix

Lukšan, Ladislav, Vlček, Jan (2019)

Programs and Algorithms of Numerical Mathematics

In this contribution, we propose a new hybrid method for minimization of nonlinear least squares. This method is based on quasi-Newton updates, applied to an approximation A of the Jacobian matrix J , such that A T f = J T f . This property allows us to solve a linear least squares problem, minimizing A d + f instead of solving the normal equation A T A d + J T f = 0 , where d R n is the required direction vector. Computational experiments confirm the efficiency of the new method.

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