Geometric aspects of the covariance partial realization problem

Chin Chang, Tryphon T. Georgiou

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

In this paper, both Euclidean geometric and non-Euclidean geometric descriptions for the regions of the solution set to the covariance partial realization problem are discussed. In particular, it is shown that all the solution functions are located inside a Euclidean disk - the Weyl disk, and a non-Euclidean disk - the Apollonian disk. The radius of each disk depends on the norm of the parameterizing Schur functions. Moreover, it is pointed out that the well known maximum entropy solution is exactly the hyperbolic center of the Apollonian disk; while, the associated power spectral density function is the geometric mean center of the real region where the Wyel disk is projected to along the imaginary axis. Sensitivity analysis of the Weyl disk radius and Apollonian disk center due to the perturbation of the given finite covariance data is presented.

Original languageEnglish (US)
Title of host publicationAmerican Control Conference
PublisherPubl by IEEE
Pages627-632
Number of pages6
ISBN (Print)0780308611, 9780780308619
DOIs
StatePublished - 1993
EventProceedings of the 1993 American Control Conference Part 3 (of 3) - San Francisco, CA, USA
Duration: Jun 2 1993Jun 4 1993

Publication series

NameAmerican Control Conference

Other

OtherProceedings of the 1993 American Control Conference Part 3 (of 3)
CitySan Francisco, CA, USA
Period6/2/936/4/93

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    Chang, C., & Georgiou, T. T. (1993). Geometric aspects of the covariance partial realization problem. In American Control Conference (pp. 627-632). (American Control Conference). Publ by IEEE. https://doi.org/10.23919/acc.1993.4792934