| Autor: |
Stefano Pinzoni, Giorgio Picci |
| Jazyk: |
angličtina |
| Předmět: |
|
| Zdroj: |
Linear Algebra and its Applications. :997-1043 |
| ISSN: |
0024-3795 |
| DOI: |
10.1016/0024-3795(94)90378-6 |
| Popis: |
We study acausal realizations of stationary (or stationary-increment) processes. In particular, we characterize the family of models whose corresponding spectral factors have a fixed zero structure. Acausal models with a fixed zero structure are related to each other by a certain group of state-feedback transformations which is naturally parametrized by the solution set of a homogeneous algebraic Riccati equation. Each feedback transformation reflects some of the eigenvalues of the generator matrix A of the representation to a mirror image with respect to the imaginary axis. Dually, acausal models with a fixed “pole structure” are parametrized by a dual Riccati equation and by a corresponding family of output injection transformations. From a general standpoint the results of this study clarify the role played by dual pairs of Riccati equations in spectral factorization and may be relevant to other problem areas than stochastic modelling. One natural application of the concepts discussed in the paper is to stochastic balancing. Balancing of models with an essentially arbitrary eigenvalue location can be accomodated very naturally in this framework. A balancing algorithm involving the solution of a dual pair of Riccati equations is discussed. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
|
