On a Schur-algorithm based approach to spectral factorization: connection with the Riccati equation

Chin Chang, Tryphon T. Georgiou

Research output: Contribution to journalArticlepeer-review

7 Scopus citations

Abstract

This paper points out a connection between the Schur algorithm and the difference Riccati equation arising in linear optimal filtering. It is shown that a special version of the Schur algorithm leads to a Chandrasekhar-type algorithm.

Original languageEnglish (US)
Pages (from-to)233-247
Number of pages15
JournalLinear Algebra and Its Applications
Volume171
Issue numberC
DOIs
StatePublished - Jul 1 1992

Bibliographical note

Funding Information:
*This work was supported in part by the NSF under grants ECS-8705291,

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