A survey of spectral factorization methods
Author(s) -
Sayed A. H.,
Kailath T.
Publication year - 2001
Publication title -
numerical linear algebra with applications
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.02
H-Index - 53
eISSN - 1099-1506
pISSN - 1070-5325
DOI - 10.1002/nla.250
Subject(s) - factorization , scalar (mathematics) , variety (cybernetics) , mathematics , spectral theorem , computation , algebra over a field , quadratic equation , spectral analysis , calculus (dental) , algorithm , mathematical optimization , pure mathematics , statistics , medicine , physics , geometry , dentistry , quantum mechanics , spectroscopy , operator theory
Abstract Spectral factorization is a crucial step in the solution of linear quadratic estimation and control problems. It is no wonder that a variety of methods has been developed over the years for the computation of canonical spectral factors. This paper provides a survey of several of these methods with special emphasis on clarifying the connections that exist among them. While the discussion focuses primarily on scalar‐valued rational spectra, extensions to non‐rational and vector‐valued spectra are briefly noted. Copyright © 2001 John Wiley & Sons, Ltd.