- Tytuł:
- A Homotopy Approach to Rational Covariance Extension With Degree Constraint
- Autorzy:
- Enqvist, P.
- Tematy:
-
optymalizacja
teoria systemów
stochastic realization theory
rational covariance extension problem
ARMA model design
continuation method
optimization - Pokaż więcej
- Wydawca:
- Uniwersytet Zielonogórski. Oficyna Wydawnicza
- Powiązania:
- https://bibliotekanauki.pl/articles/908061.pdf Link otwiera się w nowym oknie
- Opis:
- 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.
- Dostawca treści:
- Biblioteka Nauki
Artykuł