TY - JOUR
T1 - On a Schur-algorithm based approach to spectral factorization
T2 - connection with the Riccati equation
AU - Chang, Chin
AU - Georgiou, Tryphon T.
N1 - Funding Information:
*This work was supported in part by the NSF under grants ECS-8705291,
PY - 1992/7/1
Y1 - 1992/7/1
N2 - This paper points out a connection between the Schur algorithm and the difference Riccati equation arising in linear optimal filtering. It is shown that a special version of the Schur algorithm leads to a Chandrasekhar-type algorithm.
AB - This paper points out a connection between the Schur algorithm and the difference Riccati equation arising in linear optimal filtering. It is shown that a special version of the Schur algorithm leads to a Chandrasekhar-type algorithm.
UR - http://www.scopus.com/inward/record.url?scp=38249013378&partnerID=8YFLogxK
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U2 - 10.1016/0024-3795(92)90262-9
DO - 10.1016/0024-3795(92)90262-9
M3 - Article
AN - SCOPUS:38249013378
SN - 0024-3795
VL - 171
SP - 233
EP - 247
JO - Linear Algebra and Its Applications
JF - Linear Algebra and Its Applications
IS - C
ER -