[PDF][PDF] On the spectral factorization of singular, noisy, and large matrices by Janashia-Lagvilava method

L Ephremidze, A Gamkrelidze, I Spitkovsky - Trans. A. Razmadze Math …, 2022 - rmi.tsu.ge
Trans. A. Razmadze Math. Inst, 2022rmi.tsu.ge
Janashia–Lagvilava algorithm is a relatively new method of matrix spectral factorization. In
our previous publications on this topic, we demonstrated that the algorithm is capable to
compete with other existing methods of factorization. In the present paper, we provide further
refinements of the algorithm emphasizing that it might have a significant advantage in many
scenarios arising in practical applications.
Abstract
Janashia–Lagvilava algorithm is a relatively new method of matrix spectral factorization. In our previous publications on this topic, we demonstrated that the algorithm is capable to compete with other existing methods of factorization. In the present paper, we provide further refinements of the algorithm emphasizing that it might have a significant advantage in many scenarios arising in practical applications.
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