State covariances and the matrix completion problem

@article{Chen2013StateCA,
  title={State covariances and the matrix completion problem},
  author={Yongxin Chen and Mihailo R. Jovanovix0107 and Tryphon T. Georgiou},
  journal={52nd IEEE Conference on Decision and Control},
  year={2013},
  pages={1702-1707}
}
State statistics of a linear system obey certain structural constraints that arise from the underlying dynamics and the directionality of input disturbances. Herein, we formulate completion problems of partially known state statistics with the added freedom of identifying disturbance dynamics. The goal of the proposed completion problem is to obtain information about input excitations that explain observed sample statistics. Our formulation aims at low-complexity models for admissible… CONTINUE READING

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