Time-variant displacement structure and interpolation problems

Derives a new recursive solution for a general time-variant interpolation problem of the Hermite-Fejer type, based on a fast algorithm for the recursive triangular factorization of time-variant structured matrices. The solution follows from studying the properties of an associated cascade system and leads to a triangular array implementation of the recursive algorithm. The system can be drawn as a cascade of first-order lattice sections, where each section is composed of a rotation matrix followed by a storage element and a tapped-delay filter. Such cascades always have certain blocking properties, which can be made equivalent to the interpolation conditions. The authors also illustrate the application of the algorithm to problems in adaptive filtering, model validation, robust control, and analytic interpolation theory