Polynomials and Linear Control Systems
Polynomials and Linear Control Systems
Linear System Theory and Design
Linear System Theory and Design
An efficient and versatile algorithm for computing the covariancefunction of an ARMA process
IEEE Transactions on Signal Processing
Paper: Efficient algorithm for matrix spectral factorization
Automatica (Journal of IFAC)
| Hi-index | 22.14 |
New numerical procedures are proposed to solve the symmetric matrix polynomial equation A^T(-s) X(s)+X^T(-s) A(s)=2B(s) that is frequently encountered in control and signal processing. An interpolation approach is presented that takes full advantage of symmetry properties and leads to an equivalent reduced-size linear system of equations. It results in a simple and general characterization of all solutions of expected column degrees. Several new theoretical results concerning stability theory and reduced Sylvester resultant matrices are also developed and used to conclude a priori on the existence of a solution. By means of numerical experiments, it is shown that our algorithms are more efficient than older methods and, namely, appear to be numerically reliable.