On Janashia-Lagvilava method of matrix spectral factorisation

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• Lasha Ephremidze (Tbilisi State University; New York University)
• Tuesday 13 August 2019, 10:00-11:00
• Seminar Room 1, Newton Institute.

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Janashia-Lagvilava method is a relatively new algorithm
of matrix spectral factorisation which can be applied to compute an approximate
spectral factor of any matrix function (non-rational, large scale, singular)
which satisfies the necessary and sufficient condition for the existence of
spectral factorisation. The numerical properties of the method strongly depend
on the way it is algorithmised and we propose its efficient algorithmisation.
The method has already been successfully used in connectivity analysis of
complex networks. The algorithm has the potential to be used in control system
design and implementation for the required optimal controller computations by
using frequency response data directly from measurements on real systems. It
also provides a robust way of Granger causality computation for noisy singular
data.

This talk is part of the Isaac Newton Institute Seminar Series series.

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