TIME-VARYING SPECTRAL FACTORIZATION.

Abstract

The problem is posed of obtaining the spectral factorization of the covariance of the output of a linear, finite-dimensional, time-varying system driven by white noise. It is shown that a factorization can be found, though possibly not globally, by solving a matrix Riccati equation. (Author)

Document Details

Document Type
Technical Report
Publication Date
Oct 01, 1966
Accession Number
AD0807732

Entities

People

  • Brian Anderson

Organizations

  • Stanford University

Tags

DTIC Thesaurus Topics

  • Covariance
  • Data Science
  • Differential Equations
  • Equations
  • Information Science
  • Linear Differential Equations
  • Mathematical Analysis
  • Mathematics
  • Noise
  • Real Variables
  • Riccati Equation
  • White Noise

Readers

  • Control Systems Engineering.
  • Linear Algebra