A new procedure for stochastic realization of spectral density matrices

A.J. van der Schaft, J.C. Willems

    Research output: Contribution to journalArticleAcademic

    6 Citations (Scopus)

    Abstract

    In this paper we consider the problem of obtaining a state space realization of a zero mean gaussian vector process. A new algorithm is presented for the case in which the process is given in terms of its spectral density function. Contrary to the usual procedure followed, which requires a partial fraction expansion, the algorithm presented starts with a (deterministic) realization of the spectral density function itself.
    Original languageEnglish
    Pages (from-to)845-855
    JournalSIAM journal on control and optimization
    Volume22
    Issue number6
    DOIs
    Publication statusPublished - 1984

    Keywords

    • IR-98447

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