A homotopy approach to rational covariance extension with degree constraint

The solutions to the Rational Covariance Extension Problem (RCEP) are parameterized by the spectral zeros. The rational filter with a specied numerator solving the RCEP can be determined from a known convex optimization problem. However, this optimization problem may become ill-conditioned for some parameter values. A modication of the optimization problem to avoid the illconditioning is proposed and the modified problem is solved effciently by a continuation method.

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