Implementing the Iakoubovski-Merino spectral factorization algorithm using state-space methods
(2009)
Journal Article
Taub, B. (2009). Implementing the Iakoubovski-Merino spectral factorization algorithm using state-space methods. Systems and Control Letters, 58(6), 445-451. https://doi.org/10.1016/j.sysconle.2009.02.008
The necessity of factoring spectral matrices arises in stationary control settings. The optimality conditions for quadratic optimization of stochastic objectives are Wiener-Hopf equations that cannot be solved algebraically because of the asymmetry i... Read More about Implementing the Iakoubovski-Merino spectral factorization algorithm using state-space methods.