International Journal of applied mathematics and computer science

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Paper details

Number 5 - December 2001
Volume 11 - 2001

A homotopy approach to rational covariance extension with degree constraint

Per Enqvist

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.

Keywords
stochastic realization theory, rational covariance extension problem, ARMA model design, continuation method, optimization