2011/04/07 by Enqvist, Per
#93B15 #FOS: Electrical engineering #FOS: Mathematics #Optimization and Control (math.OC) #Systems and Control (eess.SY) #electronic engineering #information engineering
paper · doi:10.48550/arxiv.1104.1389
In the Markov and covariance interpolation problem a transfer function W is sought that match the first coefficients in the expansion of W around zero and the first coefficients of the Laurent expansion of the corresponding spectral density WW^⋆. Here we solve an interpolation problem where the matched parameters are the coefficients of expansions of W and WW^⋆ around various points in the disc. The solution is derived using input-to-state filters and is determined by simple calculations such as solving Lyapunov equations and generalized eigenvalue problems.