Computer Algorithm for Spectral Factorization of Rational Matrices
W. G. Tuel · IBM Journal of Research and Development · 1968
An algorithm is derived for the numerical spectral factorization of matrices arising in optimal filter design. The method uses a bilinear transformation to convert the factorization problem into a stable nonlinear difference equation of the Riccati type. The computer solution of several examples is presented to illustrate the technique.