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

Chin Chang; Tryphon T. Georgiou

doi:10.1016/0024-3795(92)90262-9

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

Chin Chang
, Tryphon T. Georgiou

Electrical and Computer Engineering

Research output: Contribution to journal › Article › peer-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 language	English (US)
Pages (from-to)	233-247
Number of pages	15
Journal	Linear Algebra and Its Applications
Volume	171
Issue number	C
DOIs	https://doi.org/10.1016/0024-3795(92)90262-9
State	Published - Jul 1 1992

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

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10.1016/0024-3795(92)90262-9

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

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.",

author = "Chin Chang and Georgiou, \{Tryphon T.\}",

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

year = "1992",

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doi = "10.1016/0024-3795(92)90262-9",

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AU - Chang, Chin

AU - Georgiou, Tryphon T.

N1 - Funding Information: *This work was supported in part by the NSF under grants ECS-8705291,

PY - 1992/7/1

Y1 - 1992/7/1

N2 - 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.

AB - 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.

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UR - https://www.scopus.com/pages/publications/38249013378#tab=citedBy

U2 - 10.1016/0024-3795(92)90262-9

DO - 10.1016/0024-3795(92)90262-9

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EP - 247

JO - Linear Algebra and Its Applications

JF - Linear Algebra and Its Applications

IS - C

ER -

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

Abstract

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