A modified Riccati approach to analytic interpolation with applications to system identification and robust control

Abstract: This paper provides a new method to solve analytic interpolation problems with rationality and derivative constraints, occurring in many applications to system and control. It is based on the covariance extension equation previously proposed by Byrnes and Lindquist in a different context. A complete solution for the scalar problem is provided, and a homotopy continuation method is presented and applied to some problems in modeling and robust control. Some numerical examples illustrate robustness and efficiency of the proposed procedure.