Spectral Factorization by Optimal Gain Iteration
Jon H. Davis, Roscoe G. Dickinson · SIAM Journal on Applied Mathematics · 1983
An iterative algorithm for spectral factorization is presented. The algorithm has the form of a frequency-domain version of the Newton–Raphson solution of the corresponding Riccati equation, although results are established without reference to an underlying state-variable model. Application is made to a distributed filtering problem.