We present a theory of stochastic modeling for stationary discrete-time processes in terms of general acausal realizations which involve a possibly unstable A matrix. This leads to a unified derivation of many known results on spectral factorization, Linear Matrix Inequalities and the Riccati inequality/equation in a coherent framework.
A Complete LMI/Riccati Theory from Stochastic Modeling
FERRANTE, AUGUSTO;PICCI, GIORGIO
2014
Abstract
We present a theory of stochastic modeling for stationary discrete-time processes in terms of general acausal realizations which involve a possibly unstable A matrix. This leads to a unified derivation of many known results on spectral factorization, Linear Matrix Inequalities and the Riccati inequality/equation in a coherent framework.
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