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Generalizing the Markov and covariance interpolation problem using input-to-state filters

By Per Enqvist

Abstract

In the Markov and covariance interpolation problem a transfer function $W$ is sought that match the first coefficients in the expansion of $W$ around zero and the first coefficients of the Laurent expansion of the corresponding spectral density $WW^\star$. Here we solve an interpolation problem where the matched parameters are the coefficients of expansions of $W$ and $WW^\star$ around various points in the disc. The solution is derived using input-to-state filters and is determined by simple calculations such as solving Lyapunov equations and generalized eigenvalue problems.Comment: CDC 2007 pape

Topics: Mathematics - Optimization and Control, Computer Science - Systems and Control, 93B15
Year: 2011
OAI identifier: oai:arXiv.org:1104.1389
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