@ IEEE TRANSACT1 0 N S 0 N

AUTOMATIC CONTROL
NOVEMBER 1983

A PUBLICATION OF THE IEEE

CONTROL
SYSTEMS
VOLUME AC-28 NUMBER 11 (ISSN 0018-9286)

SOCIETY n.

PAPERS

Optimal Flow Control of a Class of Queueing Networks in Equilibrium . . . . . . . . . . . . . . . . . . . . . . . . . A . A .Lazar 1001

Ankle Controls That Produce a Maximal Vertical Jump When Other Joints are Locked . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . . . . , . . . . . . . . . . . . . . . . . . . . . . . . . . . W. S . Levine, F. E. Zajac, M . R. Belzer, and M . R. Zomlefer 1008
Hierarchical Aggregation of Linear Systems with Multiple Time Scales . , . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . . . . . . . . . . . . . . . . . , , . . . . . . . . . . . . .M . Coderch, A . S . Willsky, S.S . Sastry , and D. A . Castanon 1017
Multivariable Feedback, Sensitivity, and Decentralized Control . . . . . . . . . . . . . . . . . G. Zames and D.Bensoussan 1030
A Method for Constructing Minimal Linear-Analytic Realizations for Polynomial Systems . . . . . . . . . W. J . Rugh 1036

TECHNICALNOTES AND CORRESPONDENCE

The Nash Solution of an Advertising Differential Game: Generalization of a Model by Leitmann and Schmitendorf
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .G . Feichtinger 1044
Biasedness Properties for a Class of Kalman-Like Estimators . . . . . . . . . . . . . M . T. El-Hadidi and S. A . Mostafa 1048
A Lattice Algorithm for Factoring the Spectrum of a Moving Average Process . . . . . . . . . . . . . . . . .B. Friedlander 1051
Hamiltonian-Type Lyapunov Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .R . Marino and S. Nicosia 1055
Inversion of 2-Transforms by Solving Appropriately Formulated Nonconstant Coefficient Difference Equations
................................................................................. E.Fabia~ 1057
A Game-Theoretic View of Two Processes Using a Single Resource . . . . . . . . . . . . C. Courcoubetis and P . Varaiya 1059
Comments on “Efficient Time Propagation of U-D Covariance Factors” . . . . . . . . . . . . . . . . . . . . . . . L. 0.Lupash 1061
Author’s Reply . . . . . . . . . . . . . . . . .- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . G. J. Bierman 1062

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1048 IEEE TRANSACTIONS
special configuration of the isoclines in the ( u t , u 2 ) plane and the length
of T. Whereas u,(t) and u , ( t ) are both finally decreasing, for their initial
behavior all cases are possible pro\<ded that T is “not too short.” Note,
however. that at most one change in the sign of ic,(r) is possible. Note
further that at most one of the Nash controls shows a change in trend
whereas the other one is always monotonic.
Consider the generalized Leitmann-Schmitendorf differential game
with infinite duration. i.e., T = 03 and S,= 0. For this infinite time
horizon problem
u,(t)=zii forallrE[O.co),
i=1.2 (35)
are canditates for a Nash equilibrium solution. Since the Hamiltonians
(loa) are concave jointly in ( x , . u , ) , the limiting transversality condition.
lim e-‘JA,( r ) =0, (36)
r-.x
(2) and A , ( t ) 0 are satisfied and x : ( r ) is bounded. (35) also satisfies the
sufficient optimality ~ o n d i t i o n s .Note
~ that in Case 1 [(Fig. 2(a)] the
boundary equilibria provide no optimal solutions for the infinite time
horizon game, since (36) does not hold. In the saddle point case. however.
it turns out that additional to (35) each segment of both stable branches
of the saddle point path ending in the stationary point (ti,, i c 2 ) is also a
Nash-optimal path.
The Leitmann-Schmitendorf game and its generalization provide exam-
ples of quu/itaticv!r solruble two-person differential games [5]. [6]. B)- this
property we mean that a system of two differential equations for the Nash
controls can be derived from the maximum principle opening the possibil-
ity of studying the structure of the solutions by a phase portrait analysis.
Two properties are crucial for the qualitative solvability of the game
analyzed above. First. neither the right-hand side of i , [see (l)]nor the
objective functional (9) contains x j . This implies that the “mixed” adjoint
variables A‘,(i # j ) vanish identically and are thus redundartt in the
optimization procedure. Second, the state variables are absent from the
adjoint equations and also the choice of conirols is independent of the
value of the state variables. This property. denoted as state-separabilit?;in
151. [6]. follows from the linearity of x, in (1) and (9) and from the fact
that g , ( u , ) occurs in (1) without any factor x , or x,.
The trilinear games studies in [2]-141 are state-separable but not vice
versa (a counterexample is given in [6]).
In state-separable differential games. the candidates for open-loop
Nash optimality are also candidates for closed-loop Nash optimality.
since u, is independent of the initial state and is constant with respect to
the state. Usually. optimality is shown by verifying sufficient conditions
for Nash controls; see. e.g.. Leitmann and Stalford [18], compare also [15.
p. 6481.
In most qualitatively Nash-solvable differential games there is a sta-
tionary point (ic,, ti,) in the interior of the admissible control region: see
[j].[7]-[9]. In the present case, we have shown that this equilibrium is
either an unstable node or a saddle point.
ACKNOWLEDGMENT
Thanks are due to S. Jargensen. J . Gaugusch. R. Willing. and E.
Dockner for valuable suggestions and discussions.
REFERENCES
[I] K. J. Arrokb and M Kurr. Public 1nr.rsrnzenr. The Rure of Rerum. und Oprmrul F t x d
Poltcv. Bahtmore. MD: JohnrHopkins Umr. Press. 1970.
[ 2 ] J H Ca=. 6:conomrc~und rhe Cwnperrnr’r Procrzs. Ne%York:Keu York U m \ .
Pres. 1979
131 S Clemhout and H Y Wan. “A class of trilinear gamer.” J . Opr~nzt:. Tlleon. . A p p l .
vol. 14. no. 4. 1974.
141 -. “lnteractive economic dynamics.” J . O p r m t c Theon.App1.. vol 17. no. 1. 1979.
1.51 E Dockncr. C i . Feichtinger.and S lorgemen.“Tractableclaw?> of nomerc-sum
open-loop N a h d~fferentlalgames: Theor) and examples.’’ J Opfom; Theon 4 p p l .
to bc published
4Hcre u e usc (16) and (17). The sufhciency condttions are staled. e.g. in 1171 or [I?].
0018-92X6/83/1100-1048SO1.00
AUTOHATIC
ON CONTROL, VOL. AC-28, NO. 11, NOVE35ER 1983
G. Feichtinger, “ N - a h Losungen zustandsseparablerNichtnullsummen
Dif-
ferentialspiele.“ Inst. OkonomeVie Oper. Res.. Abt. f. O R Tech. Univ. Wien, Vienna.
Austria. Forschungsbericht 41. 2nd version. D m . 1981.
-. “The Narh solution of a maintenance-production differential game.” Europ. J .
Oprrmr:. Res.. vol. 10. no. 2. 1982
-. “Optimal policies for two firms in anoncooperativeresearch proJect:’ in
Oprrmal Conrrol 77zeoT and Economrc Atralvsrs. G Feichtinger. E d . Amsterdam.
The Netherlands: North-Holland. 1982.
G Feichtinger and E Dockner. ”Optimal pncing In a duopoly: A noncoorperative
differentialgamessolution.” Inst. EconometncrOper. Res.. Tech Univ.. Vienna.
Ausuia. Working Paper. 19x2: also J . Oprlntr;. 7’beoT Appl.. to be published.
J Gaugusch.“Nichtkooperativedlmamische ?rets-. Werbe-. Produktions- undIn-
standhaltungspolitikenzueier Firmen.” Inst. Okonometrie Oper. Res.. Abt. f. OR,
Tech. UNV. Wien. Vlenna. Austria. 1981.
S. Jergensen. “ A survey of some differential games in advertising,” J . Econ. @n.
Comr., vol. 4. no. 4. 1982
M.I. Kamien and N. L. Schwartz. Dynnrmr Oprrmrzarion: The Calculur of Varuxiom
and Opnmal Conrrol in Econonucs and Management Amsterdam. The Netherlands:
North-Holland. 1981
G. Leitmann. “Cooperative and non-cooperative many plaSers differential games,”
in l n r . Cenrre .Mech. Sct.. Cdme. Courses and Lecrures .Yo. 190. Vtenna. Austria:
Springer-Verlag. 1974.
G. Leitmannand W. E Schmitendorf,“SomesufficiencyconditionsforPareto-
optimal control.” A S M E J . Dwanl. Sysr.. Meas.. Coftrr., vol. 95. ser. G. Dee. 1973.
-. “Profitmaximizationthroughadverbsing:Anonzerosumdifferentialgame
approach.” IEEE Trum. Automar. Conrr.. vol. AC-23. pp. 646-650. 1978.
D. t i . Luenberger. ” A nonlinear economic control problem with a Linear feedback
solution.” I E E E T r u w Auromar. Conrr.. vol AC-20. Apr. 1975.
S. P Sethi and G. L Thompson. Oprrntal Conrrol meor,: Applrcarrom ro Manage
nlem Srren<e. Boston. MA: NiJhoff. 1981.
H Stalford and G Lemnann. “Suffinenq conditions for Kash equilibria in S-per-
w n differentml games.“ in Toprcs in Drfferemral Games. ABlaquiire. Ed. New
York. E l s , i e r , 1973.
A. W. Starr and Y . C. Ho. “Kon-zero s u m differentid games.“ J . Oprrmr:. Thee?
.
Appl vol. 3. no. 3. 1969.
A W S t a n and Y C Ho. “Further properties of non-zero sum differential games.”
J Oprrmr;. Thee? A p p l . vol. 3. n o 4. 1969.
Biasedness Propertiesfor a Class of Kalman-Like
Estimators
Abstract -A model for observing the sy-stem state under multiplicative
and additive noise conditions has been recently proposed to extend the
well-known Kalman estimation theon.. In the present correspondence we
investigate the biasedness properties for the best linear recursive estimator
of such a model, anddiscuss means for adjusting the generally nonzero bias
term of the estimator.
I. INTRODUCTION
Traditionally. the problem of signal estimation using noisy observations
has assumed the available measurements to contain noise in an “additive”
form. This was the case in the early work of Wiener [l]where he derived
the optimal linear least squares (LLS) estimator for a signal { . Y ~ .f E T }
based on the measurement record { z s . s < t } where zr = x, t c; and c5 is
the additive noise. Since Wiener’s analysis was also restricted by the
assumptions that all processes are scalar. that their statistics are sta-
tionary. and that the measurement record extends from ( - x), an im-
portant contribution by Kalman [2] has been to relaw these restrictions by
introducinga state-space model for the signal. This has led to the
derivation of an LLS estimator that assumed a recursive structure. More
specifically. for a discrete-time system described by
z ~ = H ~ . x ~ k+= 0L. 1~, 2~; - . (la)
XI =Qp,,- 1 . ~ p ,- 1 + G h - -1 k =1.2. . . . P )
hlanuacript rel-cwd July 2 3 . 19x2: rebased November 2 . 19x2
The nuthon arc with the Department of Uectronia and Communlcations. Cairo Univsr-
u t ? . Ciiza. Eg?pt
Dl983 IEEE
IEEE TR4NSACTIONS ON AUTOMATICVOL.
CONTROL, AC-28,NO. 1 1. 1049
NOVEMBER 1983

the Kalman filter assumed the form ~{y~y,)/E{y,}isindependentofj, j=o,l:..,k-l. (7c)

i k , ~ = F l ( k ) i k - l l k - lF+2 ( k ) ~ k k=0,1,2, ' . . (2) It is then desired to investigate the properties of the bias term B ( k ) =
W k } - E { - % l k ) .
where illl is the LLS estimator of the vector x l . j = k - 1. k ; F l ( k )= ( I -
F 2 ( k ) H k ) + k . k - l ;and F 2 ( k ) is the familiar Kalman gain. Equation (2) III. EXPRESSION FOR TEE ESTIMATOR BIAS
clearly indicatesthat it is unnecessary tostore old measurements
z o . z;.l . r ~ k - l for the purpose of evaluatingiklkas long as i k - l l k and- l Adding and subtracting F , ( k ) E { x k - 1 in the defining expression for
z k are available. Another implication of (1) and (2) is that if i L l k is ~ ( kand ) using (5), (3), and (4), one obtains
initially unbiased (i,e., E { x o } - E{ iolo} = O), then it will remain so in
additionto being optimal in the LLS sense. This fact can be seen as ~ ( k ) = ~ { ~ ~ } - ~ { ~ ~ ~ ~ } + ~ ] ( ~ ) E ( ~ k - l } - ~ l ; ( k ) E { X k

follows:
~ ~ ~ ~ k ) [ E { X k - l ~ ~ E { x k - ~ ~ ~ - ~ } ] ~ E ~ ~ k ~ F 2
B ( k ) ' E { X k ) - E { i k l k }
+E{xk}-Fl(k)E{xk-l}
[I- F*(k)Hkl@k,k-l(E{xk}-E{ ;klk})

k =F,(k)B(k-1)
= Il [ I - G ( ~ ) H ~ I Q ~ . , - ~ . B ( O )
j=l ~ [ F ~ ( k ~ ~ ~ k . k - ~ ~ E ~ ~ k ~ ~ ~ k ~ H k @ k , k - l ~ ~

=0 for B ( 0 ) = 0. or

In a subsequent work, Nahi [3] generalized the Kalman model by consid- B(k)=T(k)p+F,(k)B(k-1) k>l (8)
ering the following setup for the measurements:
where
~ k = ~ k H k ~ k + ~k =
k 0.1,2.-..
P==E{.xO) (9)
where { y k } is an independent, identically distributed (IID) sequence
taking the values 0 or 1. For the above special multiplicative noise. Nahi
T ~ k ) ~ [ @ k , k - ~ ~ F l ~ k ~ ~ E ~ ~ k ~ F 2 ~ k ~ H k ~ k . k - l ~ @ k - l , '>'.
derived the LLS estimator, which again was recursive and unbiased (10)
provided B(0) = 0.
For k = 0, we clearly have
Recently, however, it was shown that the recursiveness property of the
LLS estimator need not automatically hold for a measurement model
having general multiplicative noise. Instead, it has been established [4] B(0) = P - E{ XOlO}

that a necessary and sufficient condition should be satisfied if the LLS =(I- ~ { Y 0 } ~ 2 ( 0 ) ~ ~ ) ~ - ~ 1 ( 0 ) ~ - 1 1 - 1 . (11)
estimator is to be recursive. In the present correspondence. we further
investigate LLS estimators by examining their biasedness properties when On expanding (8) one gets an alternative expression for B ( k ) , namely
the system measurements contain multiplicative noise that is not neces-
sarily of the IID switching type. B(k)=~(k)l.r~M(k)[(~-E{~o}~2(O)~O)~-~l(O)~-1,-1]
k>l (12)
11. PROBLEM STATEMENT
where
Consider the following model for the signal and measurement vectors
of a discrete-time linear system: L(k)=T(k)+F,(k)T(k-l)+ '.. +F1(k)F1(k-1)-..F,(2)T(1)
Xk=@k,k-1Xk-l+Gk-lUk-l k=1,2, . ' . (3) =T(k)+F,(k)L(k-1) k>l (134
~ k = y k H k ~ k + ~ k k=0,1,2;.. . (4) L(1) = T(1)

In the above x . and z . have the respective dimensions n and m ; the = ~ ~ 1 . 0 - ~ ~ ~ ~ ~ - ~ ~ ~ l ~ ~ 2(13b)
~ ~ ~ ~ l

plant noise u . and the additive noise 0. are of dimensions p and M.

and
respectively; whereas y. is an arbitrary multiplicative noise sequence
whose values may be either discrete or continuous. In addition, G k , & - ] , M ( k ) = Fl(k)Fl(k-l)...Fl(l)
G k - and Hk are system matrices having the appropriate dimensions. We
further assume that xo. { uk }, { uk }. and { yk } are mutually uncorrelated =F,(k)M(k-l) k>l (144
and that "1) = Fl(1). (14b)
~.(u,:,U,)=Vu(k)sk,j. E { u k } = O Equation (8) states that even though the linear recursive estimator (5) may
be unbiased at some stage k - 1, the initial mean acts to disturb this
C O V ( L ~ ~ , U ~ ) = ~ . ( E~ {)vSk ~
} =. O~ .,
condition at the next stage k by introducing a term which depends on
In order to ensure the existence of an estimator of the form T ( k ) (and hence on F , ( k ) . F 2 ( k ) , the system matrices, and E ( y k } ) . On
the other hand, (12) indicates that the choice of theconstant term
iklk=F](k)ik-llk-]+F?(k)Zk (5) F,(0).IZ-,I-l-which initiates the recursion in (5)-dso affects the bias.
In the following we shall show how Fl( .) and F 2 ( - )are determined, and
such that it minimizes the error criterion in the next section the choice of F l ( 0 ) i - , l ~ ,is discussed.
Since F , ( k ) and F 2 ( k )are the solutions of the optimization problem (5)
E{(x,-xklk)rQ(xk-iklk)} Q>o (6) and (6) subject to (3) and (4), they cannot be chosen arbitrarily. Using the
orthogonality principle, we see that for (6) to be minimized Fl( k ) and
we shall also require yk to satisfy the following conditions [4, sect. 1111: F? ( k ) should satisfy

E{YkI+O (7a) E { ( x k - i k l k ) z ; }= o 0 <j < k. (15)

@ k - l q j S ( j ) H : is of rank 12, where S ( j ) is the
state covariance matrix (7b) Starting with (15) and proceeding along the main steps outlined in the
1050 IEEE TRANSACTIONS ON AUTOhlAlTC CONTROL, VOL. AC-28.NO. 11, NOVEMBER 1983

Appendix. one can arrive at the following explicit expressions for F,( k ) T(i)=(EIY,Y,)-E{Y,JE{Y,})/E{Y,}.Fz(i)H;Q,.o
and F2( k ) .
For k = 0: It thus followps that the resulting bias will depend on the degree of
correlatedness in the sequence ( yh }.
Fl(0)X~,,-l=X (anarbitraryconstantvector) (16) 2) Choose X = 0 as in Remark 1. In this case B ( k ) = L ( k ) p A ,M(k)( I
- E { y o ) F 2 ( 0 ) H o ) p . which suggests an increased bias in comparison to
option 1). But sincethe present choice greatly simplifies the formula
which determines F l ( k ) and F 2 ( k ) [cf. (16)-(23)], it clearly has certain
practical advantages.
For k > 1:
V. A NUMERICAL
E~AMPLE

To illustrate the behavior of the bias term for the LLS estimator of a
system containing both additive and multiplicative noise. we compute
B ( X ) for the example used in [4] and [j].Thus, we consider the one-
dimensional state equation
x-,=-O.~.X~_,+U~_, k-1.2. ...

where

and

and
Since the rows of P ( k l j ) are different, one concludes that yk is not IID.
On the other hand, E { yA } = 0.4 # 0, whereas E { y,y,]/E{ y, ] = Pr{ y, =
lly, = 1 ) = 0.76 which is independent of j . Therefore, an LLS recursive
estimator exists and (16)-(23) can be used to determine F , ( k ) and F,(k),
and subsequently B ( k ) . For the constant X = F l ( 0 ) i ~ l we l ~ used
l the
two choices X = [ I - E { yo ] F,(O) H O ]and X = 0. The resulting estimator
X
CONSTANT
IV. CHOICEOF THE INITIAL biases as computed for the first eight steps are shown in Table I.
We notice that option 1) generally has less bias than option 2), which is
n e constant vector X = Fl(0)X- appears as a free parameter in the in agreement with our previous comment. Meanwhile. both choices for X
estimator coefficients Fl( .) and Fl( .) [cf. (16)-(19)]. Before we suggest yield a bias term that decreases with k and this is due to the multiplication
convenient choices for it. let us make two remarks first. by Fl( k ) ( = -0.8) present in the recursion (5). And although in the
Remark I : The expressions for F,(k) and F,(k). k 1. will be invariant above example the two choices for X give comparable values for B( k ) , one
with respect to the choice of X whenever p = 0. Moreover, choosing X = 0 may prefer option 2) as it requires less computational effort.
in this case wrill yield an unbiased estimator for x h . The first fact follows
directly from (17). (19). and (18) while the second fact is obvious from
APPENDIX
(12).
Remark 2; If p # O but ~ ( k ) ~ E { y ~ y , } / E { y , ) = E { y ,then) . it fol- In the following we outline the main steps leading to the derivation of
lows from (18) and (10) that T ( k )-0 for k 2 1. In this case (8) reduces to (16)-(19).
B ( k ) = M ( k ) B ( O ) . and by further choosing X = ( I - E { y o } F , ( 0 ) H o ) p For k = 0 and by substituting from (2) and (4). (15) can be expressed as
one obtains B(0) = 0 [cf. (ll)]. Consequently, the LLS estimator becomes
unbiased under these conditions. Systems satisfying the requirement ~ ( k )
= E { y, } include the classical signal in additive noise model of Kalman
(where yk = 1 = c( k ) = E{ yk }), and also the signal in additive and multi-
plicative noise model of Nahi wherein y, was a white binary 0-1 sequence.
Now suppose that neither p = 0 nor c ( k ) = E{ y, ). Then the LLS
estimator will always be biased, and the best choice for X is not obvious.
One can nevertheless consider the following options.
1) Choose X such that B(O)= 0 as in Remark 2. This implies In the last equality we made use of the uncorrelatedness assumption for
Fl(O)~~ll~l=(I-E(yo).F~(O)H,)pandthereforeB(k)=L(k)p.Now the noise sequences and have introduced the notation
according to (13a). L ( k ) is determined in part by T ( i ) .i = 1;. ..k. where

and this becomes upon substitution from (18) and (20) A straightforward manipulation of ( A l ) will then lead to (17).
 IEEE TRANSACTIONS ON AUTOMATIC CONTROL. VOL. AC-28,NO. 1 1, NOVEMBER 1983 IO5 1

TABLE I
B(k)
=E{YLJb(k-1)E{x:}
Option 1) Option 2)
A -1
k B(0)= 0 h=O
+ .,(k-1)E{Y,Y;}HiE{*,*:}
0 0 - 0.64 r=O
1 + 0.2252 + 0.4269
2 -0.3179-0.1139 = ( ~ { Y r ) - ~ ( ~ ~ ) ~ ~ ~ - ~ ~ ~ { x : } + ~ ~ ~ ~ ~ ( ~ , - l ~
+0.18123 + 0.2472
-0.1956-0.1738 4 =(E{~x}-€(k))M(k-l)X~~@~~,+e(k)S(k-l)@:,k-l.
5 + 0.1483 +0.1558
-0.1243-0.1218 6 (‘47)
7 + 0.0985 +0.0993 In the last equality use is made of the fact that
8 - 0.0792 - 0.0795
E{ Xx-llk-lX:} =E{ .i-k-lIk-lx:-l}@:,k-l

For k > 1 we expand (15) into two sets of equations as follows: = E { xr-lx;-l}@:.k-l.

We
remarkthat (A7) differs from
the
expression for
E{yk~,-llk-lx~}-given in [4, Appendix]-mainly in the first term.
This is the consequence of choosing i- - different from zero, which
implies X # 0. To complete the derivation one needs only to repeat the
Substituting the state and measurement equations (3) and (4), and using remaining steps in [4] which finally lead to (19).
(2) as well as the uncorrelatedness assumption, one obtains from (A2)

REFERENCES

[I] h:. Wiener, Exrruppolarron. Inrerpolmon. u ~ t dSmoothing a/ S r u r i o n u ~Trme Series.

Cambridge, MA: M.I.T. Press. 1949.
[2] R. E Kalman. “A newapproach l o linearfiltering and predictionproblems.” Trurrr.
Carrying out the expectation w.r.t. y and then x. (A4) reduces to ASME. J . Brrric Eng.. ser. D. vol. 82. pp. 35-45. Mar. 1960.
[3] N. E.Nahi, “Optimalrecursiveestimation with uncertainobservation.” IEEE Trans.
In/ornz. rhea?. vol. IT-15. pp. 457-462. July 1969.
[4] M. T. Hadidiand S. C.Schwartz.“Linearrecursivestateestimationunderuncertain
observations,” IEEE Truns. Auton~ur.Conrr.. vol. AC-24. pp. 944-948. Dec. 1979.
[5] R.A. Monzingo. “Discrete linearrecursivesmoothing for systemswithuncertain
observations.” IEEE Trurrr. Avron~ur.Conrr.. vol. AC-26. pp. 754-757, June 1981.

At this point one uses assumptions (7a)-(7c) of Section I1 to simplify the

above equation. The result is

where ~ ( k4 )E { yky,}/E{ y ] ) . Equation (18) follows directly from (A5).

Next we consider the second part of (15). Substituting from (4) and (2)
into (A3)one has

A Lattice Algorithm for Factoring theSpectrum of a

Taking the expectation w.r.t. y and then x , we obtain
Moving Average Process
BENJAMIN FRIEDLANDER

Absrracr -Triangular decomposition of the semi-infinite covariance ma-

To proceed further one
needs an
explicitexpression
for trix of a moving average process can be used as a spectral factorization
EV,,{y L . ~ k - l l r - l x : } .This is accomplished by first expanding (2) to technique. An efficient lattice algorithm is derived for performingthe
obtain necessarycomputations. This technique is a special case of the fast
Cholesky decomposition of stationary covariance matrices. The algorithm
P-1
can be used to factor multichannel spectrato a desired degree of accuracy.
x,&ll,&l=b(k-l)+ 1a,(k-I)z,
r=O
I. INTRODUCTION
where
Various problems in time-series analysis, optimal control, and stochas-
h(k-1)=F1(k-1)F1(k-2)~~~F1(0)x~,,~, tic modeling of linear systems involve spectral factorization. The spectrum
of purely autoregressive processes can be factored relatively easily by
=M(k-1)h solving a set of linear equations [I], [2]. In the case of moving average
(MA) processes, the problem is no longer linear and its solution is
and
considerably more difficult. Consider a stationary m-dimensional vector
process yr urhich can be thought of as being generated from an rn-vector

Manuscript received June 2. 1982: revised December 7. 1982. This work was supported
by the Office of N a 4 Research under Contract N00014-81-C-03M).
It then follows that The author is with Systems Control. Inc.. Palo Alto. CA 94304.

0018-9286/83/1100-1051$01.00 a1983 IEEE