On a Schur-algorithm based approach to spectral factorization: Connection with the Riccati equation

DOI10.1016/0024-3795(92)90262-9zbMath0767.93038OpenAlexW1992897640MaRDI QIDQ1188439

Chin Chang, Tryphon T. Georgiou

Publication date: 13 August 1992

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0024-3795(92)90262-9

zbMATH Keywords

Schur algorithmdifference Riccati equationChandrasekhar-type algorithmlinear optimal filtering

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Control/observation systems governed by ordinary differential equations (93C15)

Related Items (2)

A survey of spectral factorization methods ⋮ Spectral Factorization of Rank-Deficient Rational Densities

Cites Work

• On a Schur-algorithm based approach to spectral factorization: State- space formulae
• On Fredholm integral equations, Toeplitz equations and Kalman-Bucy filtering
• Spectral Factorization and Nevanlinna–Pick Interpolation
• Spectral factorization of matrix-valued functions using interpolation theory
• Linear fractional transformations and spectral factorization
• The Nevanlinna–Pick Problem for Matrix-Valued Functions
• On the role of the Nevanlinna–Pick problem in circuit and system theory
• Lossless chain scattering matrices and optimum linear prediction: The vector case
• A New Algorithm for Optimal Filtering of Discrete-Time Stationary Processes
• Square-root algorithms for least-squares estimation
• Some reduced-order non-Riccati equations for linear least-squares estimation : the stationary, single-output case†
• Extended Levinson and Chandrasekhar equations for general discrete-time linear estimation problems
• Computational aspects of spectral factorization and the tangential Schur algorithm
• Some new algorithms for recursive estimation in constant, linear, discrete-time systems
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