Paper: Efficient algorithm for matrix spectral factorization

Authors:
J. Jeek;V. Kuera
Affiliations:
Institute of Information Theory and Automation, Czechoslovak Academy of Sciences, 182 08 Praha 8, Czechoslovakia;Institute of Information Theory and Automation, Czechoslovak Academy of Sciences, 182 08 Praha 8, Czechoslovakia
Venue:
Automatica (Journal of IFAC)
Year:
1985

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Abstract

An algorithm is presented for the spectral factorization of polynomial (or rational) matrices arising in optimal control and filtering theory as well as in network theory. There are two versions of the algorithm: one applicable to continuous-time problems, the other to discrete-time ones. Both versions are based on Newton's method, feature quadratic convergence and provide a significant improvement in efficiency over the existing methods.