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.
@article{bwmeta1.element.bwnjournal-article-amcv11i5p1173bwm,
author = {Enqvist, Per},
title = {A homotopy approach to rational covariance extension with degree constraint},
journal = {International Journal of Applied Mathematics and Computer Science},
volume = {11},
year = {2001},
pages = {1173-1201},
zbl = {1031.93076},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-amcv11i5p1173bwm}
}
Enqvist, Per. A homotopy approach to rational covariance extension with degree constraint. International Journal of Applied Mathematics and Computer Science, Tome 11 (2001) pp. 1173-1201. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-amcv11i5p1173bwm/
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