An Algebraic Solution to the Spectral Factorization Problem

Abstract

The problem of giving a spectral factorization of a class of matrices arising in Wiener filtering theory and network synthesis is tackled via an algebraic procedure. A quadratic matrix equation involving only constant matrices is shown to possess solutions which directly define a solution to the spectral factorization problem. A spectral factor with a stable inverse is defined by that unique solution to the quadratic equation which also satisfies a certain eigenvalue inequality. Solution of the quadratic matrix equation and incorporation of the eigenvalue inequality constraint are made possible through determination of a transformation which reduces to Jordan form a matrix formed from the coefficient matrices of the quadratic equation.