Control theoretical approach to multivariable spectral factorisation problem

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Control theoretical approach to multivariable spectral factorisation problem

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It is shown how with analogy to analogue control theory, that the problem of polynomial-matrix spectral factorisation can be solved using negative feedback. This recursive method is particularly simple to implement compared with other approaches. The algorithm in its basic form requires no matrix inversions or special matrix decompositions.

Inspec keywords: recursive estimation; matrix decomposition; polynomial matrices; feedback; multivariable control systems

Other keywords: polynomial-matrix spectral factorisation; multivariable spectral factorisation problem; control theoretical approach; negative feedback; recursive method; analogue control theory

Subjects: Multivariable control systems; Algebra; Other topics in statistics

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