• DocumentCode
    928286
  • Title

    Covariance factorization via Newton-Raphson iteration

  • Author

    Anderson, Brian D O

  • Volume
    24
  • Issue
    2
  • fYear
    1978
  • fDate
    3/1/1978 12:00:00 AM
  • Firstpage
    183
  • Lastpage
    187
  • Abstract
    The solution of an integral equation arising in a covariance factorization problem is obtained by a Newton-Raphson iteration that is almost always globally convergent. Interpretations of the iterates are given, and the result is shown to specialize to known algorithms when the covariance is stationary with a rational Fourier transform.
  • Keywords
    Covariance factorization; Integral equations; Newton-Raphson methods; Australia; Control theory; Covariance matrix; Fourier transforms; H infinity control; Integral equations; Kernel; Stochastic processes; Vectors; White noise;
  • fLanguage
    English
  • Journal_Title
    Information Theory, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9448
  • Type

    jour

  • DOI
    10.1109/TIT.1978.1055859
  • Filename
    1055859
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=928286