The inverse problem of stationary covariance generation

Abstract

The paper considers the problem of passing from a stationary covariance, or spectral matrix, associated with the output of a constant linear finite-dimensional system excited by white noise to the set of all possible systems of minimum possible dimension which will generate this covariance. The problem, originally posed by R. E. Kalman in 1965, is solved by identifying each possible system with the solution of a quadratic matrix inequality; an algorithm for the solution of the inequality is also presented.