SIAM J.

CONTROL AND OPTIMIZATION (C) 1984 Society for Industrial and Applied Mathematics
Vol. 22, No. 6, November 1984 002

A NEW PROCEDURE FOR STOCHASTIC REALIZATION

OF SPECTRAL DENSITY MATRICES*
A. J. VAN DER SCHAFT’, AND J. C. WILLEMSt

Abstract. In this paper we consider the problem of obtaining a state space realization of a zero mean
gaussian vector process. A new algorithm is presented for the case in which the process is given in terms
of its spectral density function. Contrary to the usual procedure followed, which requires a partial fraction
expansion, the algorithm presented starts with a (deterministic) realization of the spectral density function
itself.

Key words. Spectral densities, stochastic realization, Hamiltonian systems, spectral factorization, Riccati
equation

1. Introduction. One of the basic problems in mathematical system theory is the

question of obtaining an "internal" state space realization of a system given in "exter-
nal" form. In the stochastic case the main problem studied in this context may be
formulated as follows: Given a stationary zero mean gaussian vector process y, construct
a stationary zero mean Gauss-Markov vector process x and a matrix C such that Cx
has the same statistical properties as y.
The basic formulation of this problem is due to Kalman [6] about fifteen years
ago and since that time numerous publications have appeared on it. A good account
of the existing theory may be found in the book by Faurre et al. [5]. The existing
algorithms assume that the process y is given by its (matrix) autocorrelation function.
However, in many applications the process y will be given by its spectral density
function and in order to apply the existing algorithms it is then necessary to factor
(e.g., by means of a partial fraction expansion) the spectral density into a part which
is analytic in Re s > 0 and a part which is analytic in Re s < 0. This is however a
nontrivial step in the application of these methods, and more often than not this
difficulty is glossed over. Indeed this requires the factorization of a high order poly-
nomial. From a numerical point of view this is a nonlinear problem of the same level
of difficulty as solving an algebraic Riccati equation. This difficulty motivates the
approach followed in the present paper. We will propose a different solution of the
problem of stochastically realizing a spectral density. Our approach is based on the
T
observation that a spectral density matrix (s) is always Hamiltonian (cb(s) (--S))
and passive ((]o)+T (--j0)>---0). Exploiting this structure, one may obtain a special
"deterministic" realization of (s) (viewed itself as a rational function in s) which
then yields an algebraic Riccati equation from which a stochastic realization (or a
white noise representation) of the original process is readily derived.
2. Realization of autocorrelation functions. In this section we will introduce the
problem and review some of the main results previously obtained on it.
,
Let y := {Yt, E} be a real p-dimensional vector process defined on a probability
space {f, P}. We assume that y is gaussian, zero mean and stationary. In the
stochastic realization problem for such processes we look for a real n-dimensional
zero mean stationary Gauss-Markov process x := {xt, R}, defined on a probability

* Received by the editors September 12, 1982, and in revised form September 21, 1983.

"
Mathematics Institute, P.O. Box 800, 9700 AV Groningen, the Netherlands.
t Current address: Department of Applied Mathematics, Twente University of Technology, P.O. Box
217, 7500 AE Enschede, the Netherlands.
845
846 A.J. VAN DER SCHAFT AND J. C. WILLEMS

space {f’, ’, P’}, and a matrix C :R --> R p such that Cx y. Here denotes (stochas-
tic) equivalence, i.e. the probability distributions of the vectors (Ytl, Yt2,""", Ytk) and
(Cx,1, Cxt2,. , Cxtk) should be equal for all choices of tl, t2," tk. Obviously if (x, C)
realizes y, then so does (Px, CP -1) for any nonsingular matrix P. We will say that
(x, C) defines a minimal realization of y if the only matrices P:Rn-->E" such that
(Px, C’) also realizes y for some C’ are actually the nonsingular matrices.
Note that we do not require that y and x are defined on the same probability

to distinguish it from the strong version in which {fY, ’, P’} {12,

in Remark 6 we will in this paper deal exclusively with the weak version.
,
space. Often this problem is therefore called the weak realization problem in order
P}. Other than
The marginal probability distributions of y (and thus of all processes which are
equivalent to it) are completely specified by its autocorrelation function R:R--> PP
defined by R(t):= E{y(t)yT(O)}. The restriction of R to [0, ) will be denoted by R /.
Of course, R specifies R completely since R(t)= R T(--t). The following basic result
/

from deterministic realization theory is well known:

PROPOSITION 1. The following conditions are equivalent:
(i) R + is Bohl (i.e., every entry of R is a finite sum of products of a polynomial,
/

an exponential, and a trigonometric function).

(ii) There exists matrices (F, G,H) such that R+(t)=HeFtG, with FE nn, G
nP, and H P.
In addition:
(iii) There is a minimal n, r/rnin, for which the factorization in (ii) is possible. This
nmi is called the McMillan degree of R +, and n nmin iff (F, G) is controllable and
(F, H) is observable. The triple (F, G, H) is then called minimal.
(iv) All triples (F, G, H) with n nmin are obtainable from one by the transformation
group
s
(F, G,H) det S0
(SFS -1, SG, HS-1).

Assume that x is an n-dimensional zero mean stationary Gauss-Markov process

with E{x(t)xT‘(t)}= O> 0 (obviously O> 0 whenever (x, C) is a minimal realization
of y). We call such Markov processes nonsingular. Then E{x(t)lx(O)} for =>0 is of
the form eatx(0) for some A. Moreover it is easily seen that O and A completely
specify the marginal distributions of the Markov process x. It is in fact not difficult to
see that this way any pair of matrices {O, A} will define a zero mean stationary
nonsingular Gauss-Markov process x with E{x(0)xT‘(0)} > 0 iff O 0 7‘ > 0 and AQ+
OAT‘<= O. We will call O the covariance and A the infinitesimal generator of x. Now
the marginal distributions of the process Cx are completely specified by (A, O, C) and
it thus makes sense to talk about this triple as defining a realization. Since in our
context minimality as defined previously corresponds also to taking the dimension of
x as small as possible we will call a realization (x, C) with x n-dimensional and n as
small as possible a minimal realization.
Two processes Xl and x2 will be called linearly equivalent if there exists a nonsin-
gular matrix S such that x2"-’Sxl. Following this we will call two realizations
(A1, O1, C1) and (A2, 02, C2) linearly equivalent if there exists a nonsingular matrix
S such that (A2, 02, C2) (SA1 $-1 S01S 7-, CIS-1) The following theorem is the basic
result in this area. It follows from the basic work by Kalman [6] and Faurre [4] and
has later been studied further by Anderson [2], Lindquist and Picci [8], Ruckebush
[11] and many others.
 STOCHASTIC REALIZATION OF SPECTRAL DENSITY MATRICES 847

THEOREM 2.
(i) There exists a finite dimensional realization of y iff its autocorrelation function
R is Bohl.
(ii) All minimal realizations (A, O, C) can, up to linear equivalence, be obtained
from a minimal factorization triple (F, G, H) of R / by taking A F, C H, and solving
the relations
FG + OF T O, OH T G
for Q=Or.
The problem thus becomes one of solving this combination of matrix
inequalities/equalities. Actually, it may be shown [4], [5], [13] that there exist solutions
Q_, Q+ such that for every other solution Q, there holds 0< Q__<-Q=< Q+<
Moreover the solution set is convex and compact. A great deal of additional information
on the structure of the solution set of these equations may be found in the above
references. Note that choosing A F and C H in the above theorem corresponds
to fixing the basis in the state space (since (F, H) is observable). Once the basis has
been picked, it is only the covariance of x, Q, which remains to be chosen.
The above results are the well-known basic facts of stochastic realization theory.
They yield a minimal stochastic realization by the following procedure. This procedure
inputs as the
Data. The autocorrelation R / of y.
Then it computes as
Step 1. Determine a minimal realization (F, G, H) of R +.
Subsequently it proceeds with
Step 2. Solve the linear matrix inequality
Q=QT, FQ+QFT<_o, QHT=G.
The procedure then returns (F, O, H) which defines a minimal realization (x, H) of
y, where x is a Gauss-Markov process with convariance O and infinitesimal generator
F. For the algorithmic implementation of Step 1 we can use any of the realization
theory algorithms of linear systems theory. Also Step 2 has received much attention
and may be reduced to solving linear matrix equations and a suitably defined reduced
order algebraic Riccati equation.
Remark 1. Some readers may be more familiar with the problem .of generating
a spectral density function by passing white noise through a linear system (which is
called the shaping filter). In fact, this problem is solved by a simple extension of the
result of Theorem 2. Indeed, let (A, O, C) be a minimal stochastic realization and let
r.
B be such that AO+OA r =-BB Consider now the system described by the
stochastic differential equation
dx Ax dt + B dw, x(0) x0,

=Cx
with x0 zero mean gaussian, and E{x0x0r} Q, and with w := { w,, e [0, ee)} a normalized
Wiener process, independent of x0. This defines a white noise driven model which
generates a process 17-- y.
In the present paper we will develop an algorithm which starts from and proceeds
by determining a minimal realization of (considered as a rational function in s).
Since in very many applications the spectral density is a more basic design specification
than the autocorrelation function, it may be of interest to have this alternative algorithm
848 A.J. VAN DER SCHAFT AND J. C. WlLLEMS

available (even though we do not claim any superiority of our algorithm above the
previously mentioned one which uses the partial fraction expansion followed by an
implementation of Theorem 2).
3. Realization of spectral density matrices. Let y {y,, t} be a real gaussian
p-dimensional vector process and assume that its autocorrelation function R is
integrable. Let (s) denote the (two-sided) Laplace transform of R. is called the
spectral density of y [10], [16]. Obviously (I) is well-defined in a strip containing the
imaginary axis. The existence of a finite dimensional realization of y may of course
also be deduced from its spectral density :
PROPOSITION 3. Assume.that R is integrable. Then the following conditions are
equivalent:
(i) R / is Bohl.
(ii) is rational.
We remark that the assumption that R is integrable is in our context equivalent
to assuming that the process y is ergodic.
In applications of stochastic realization theory it happens more often than not
that one starts with a rational spectral density matrix. Of course, in this case one may
proceed by computing a partial fraction expansion of (s)
(s)=Z(s)+Z(-s)
with Z(s) analytic in Re s-> 0, realizing Z(s) minimally as Z(s)= H(sI-F) -1G, and
using the theory of 2. However, the problem of factoring (s) into the above form
is a highly nontrivial one. It requires factoring a polynomial which may be of high
degree, and all together this may very well be the most difficult step in this whole
realization procedure.
Our purpose in the present paper is to outline a procedure which proceeds by
using a realization of the spectral density (s) directly (and not of its "causal" part
Z(s)). It is well known that a rational (p p) matrix (s) is a spectral density matrix
of a process y with integrable R if and only if it has the following properties:
(i) (s) Cr(-s),
(ii) (s) has no poles on the imaginary axis
(iii) (j) >_- 0
(iv) lims (s) 0.
In the sequel we will show how by constructing a special minimal realization of
(s), initially seen as a transfer function, we can solve the stochastic realization
problem. The key observation for our procedure is that (s) is a Hamiltonian transfer
r
matrix, i.e. (s) (- s) (in the literature this property is also called para-hermitian).
It is well known (cf. [3]) that a minimal realization (A, B, C) of (I)(s) will then satisfy
(1) fivJ+J =0,
(2) BrJ=
for some unique nonsingular matrix J satisfying J =-J. It follows from the nonsingu-
larity of J that the dimension of the state space is even, say 2n. Basis free, J is an
anti-symmetric bilinear form on R2n, and is called a symplectic form. By Darboux’s

the system with transfer matrix .

theorem there exist bases of 2n in which Jhas the matrix form (In0 -.) (cf. [1]).
The second observation which we make is that (]to)>= 0 implies the passivity of
(Note that is not asymptotically stable. Passivity
here means that for any input/output pair which corresponds to a closed path in state
space, the Z2 inner product of input and output is nonnegative (see (14])). In fact
 STOCHASTIC REALIZATION OF SPECTRAL DENSITY MATRICES 849

(jw) >-0 is equivalent to the existence of a nonsingular symmetric matrix E, which

is not necessarily positive definite (basis free, E is a nondegenerate quadratic form),
such that (see [13])

(3)
(4) /rG .
firE+Efi<=0,

We emphasize that the solution E of (3) and (4) is in general not unique. The facts
that the realizations satisfy the symmetry conditions (1), (2) and the passivity conditions
(3), (4) may be combined to yield:
LEMMA 4. There exists a solution E of (3, 4) such that
(5) =j,-1j,

Proof. Notice that if E satisfies (3) and (4), then also JE-1J does, because of (1)
and (2). Furthermore it is well known that the set of all E’s satisfying (3) and (4) is
convex and compact. Since the map E--> JZ.-1J, considered as a map on the space of
nonsingular symmetric matrices, is continuous it therefore follows from Brouwer’s
fixed point theorem that there exist E’s satisfying (3) and (4) and E JE-1J. lq
Remark 2. The proof of Lemma 4 is Completely analogous to the existence of
reciprocal passive realizations [15].
Now consider for a solution E of (3), (4) which satisfies (5), the matrix j-iN (this
is the Hamiltonian matrix corresponding to the energy function xrEx). Because of
r,
(5) and E E J _jr it follows that
(6) (j-l.)rj(j-l.,) ___j
(7)
In [9] (see also [12]) it is proven that therefore there exist bases of 2n in which

J=
I, -I,
or equivalently

(8) j=(/0, ;I,)and Z=(, ).

Roughly, this may be seen as follows. From (6) and (7) it follows that the eigenvalues
of j-l are +1 (multiplicity n) and -1 (multiplicity n). Define E+: ker (I-j-1E)
and -:= ker (I +J-1E). Take an arbitrary basis ql,""", qn of E /. It can be proven
that there exists a basis Pl," ,
Pn of E- such that q[Jpj= 6q, i, ] 1,. ,
n. Further-
more it can be seen that after having fixed ql,"’, qn, the vectors Pi as above are
uniquely determined. Then in such a basis {ql,""", q,, Pa,""", P,}, J and E have the
required form (8). (Notice that the transformations which leave J and in the form
(8) are exactly the transformations of the form

0 (sT) -1
with det S 0.)
850 A.J. VAN DER SCHAFT AND J: C. WILLEMS

Proceeding with a basis as explained it follows from (1) and (2) that A, B and C
have the form

J- H T’
C=(H --GT)
-R -f T’
with P p r and R R T.
Then (3) is equivalent to P->0 and R >_-0, while (4) gives G =0.
We sum this up in
THEOREM 5. Let O( s) be a matrix of rational functions satisfying
(i) O(s) T(--S),
(ii)
(iii) (fio)_->O Vw
(iv) lims_oo (s) 0.
,
has no poles on the imaginary axis,

Then there exists a minimal realization (A, B, C) of O(s) such that

(10)
-P
_F T ) P= pT >- O, R R T >__ O,

B= C=(H 0).
HT
The next step is to consider the following (n-dimensional) Riccati equation
(11) F TK + KF- KPK + R O.
We first state
LEMMA 6. Controllability of (A, B) implies controllability of (F, P).
Write x (,) corresponding to (_ ;veT), with Xl e X1, x2 e X2 (with X1
Proof.
X2- N"). Suppose that (F, P) is not controllable. Then there exists a subspace 5f c X1,
and L# # X1, such that Im pc 2# and is F-invariant. Then it can be easily checked
that X2 is invariant with respect to (_ _-veT) and contains lm (T). Therefore it
follows that

(_i
is not controllable, lq
Remark 3. In general, observability of (A, C) does not imply observability of
(F,R).
Consider now the Riccati equation (11). By Lemma 6 P-pW >=0 is such that
(F, P) is controllable. Since also R R W 0, and/ does not have purely imaginary
eigenvalues, this implies [7], [13] that there exists a symmetric nonnegative definite
matrix K satisfying (11) and such that F-PK is asymptotically stable. In fact, we
have to take the maximal K K W satisfying (11) [13].
Applying now the symplectic transformation/- (_ t) to ,/ and ( yields

KB= HT, /’-l=(g 0).

0 _(F_PK)T,
Now define A := F-PK, C := H, and let O be the symmetric positive definite matrix
satisfying
(13) AO+OAT=-P.
(O is uniquely determined by (13) since Re or(A)<0 and O is positive definite since
 STOCHASTIC REALIZATION OF SPECTRAL DENSITY MATRICES 851

(A, P) is controllable.) Then (A, Q, C) is a minimal realization of the process with

spectral density (s). We summarize this as
THEOREM 7. Let (s) be a rational spectral density matrix. Then (s) has, as a
transfer matrix, a minimal realization (A, B, C) of the form
gr C=(H O)
0 -(F-PK)r
with P pr >__ 0,and F- PK asymptotically stable. Now let A := F- PK, C := H and
let 0 O r > 0 be the unique solution of AO+ OA r =-P. Then (A, O, C) is a minimal
realization of the process with spectral density ( s).

(14)
Proof.
previous considerations (Theorem 5 and Lemma 6). Then it is easy to see that

Write P=BB
(Is-)-=H(Is-A)-Ip(-Is-Ar)-H
and define W(s)=H(Is-A)-B; then it follows that (I)(s)=
W(s)wT(-s). Furthermore W(s)
.
The existence of a minimal realization (A, B, C) as above follows from the

is analytic in Re s_->0 and (A,B,H) is a minimal

triple. So we have given a spectral factorization of (I)(s), which is known to be equivalent
tO the stochastic realization problem (see for instance [2], [5]). It is well known that
in terms of this factorization the covariance O of the associated Markov process is
given as the solution of A Q + QA T _BB T _p.
Remark 4. Hence we have constructed a spectral factorization (s)=
W(s) wT(--S) directly from (s), instead of first taking a partial fraction expansion
(s)=Z(s)+Z(-s).
Remark 5. Write P BB T’, then Theorem 7 gives us immediately a white noise
representation of the process
dx Ax dt + B dw, x(O) Xo,

=Cx
with Xo zero mean gaussian, E{XoXr} Q and w := { wt, [0, c)}a normalized Wiener
process independent of Xo (see Remark 1). In this case, since A is asymptotically stable,
we can equivalently define x, by

xt= 1’
d-
eA(t-S)B dw(s).

Remark 6. It is well known (cf [4]) that a strong realization corresponds to a P

of minimal rank. In our construction we obtain a strong realization by taking E ET
satisfying (3), (4) and (5) such that fiTE + Efi restricted to E has minimal rank.
/

Remhrk 7. Take Q= QT>0 as the solution of AQ+QA T =-P. Applying the

(symplectic) transformation 0 ( to

A= T-P
_A
/=
CT C=(C 0)

yields

QAQ_I=(A 0
0
--AT --(QcCr)
) OB= (-’=(C -CO).
Then (A, OC T, C) is a minimal triple with A asymptotically stable. When we define
Z(s) C(Is-A)-loc T, it follows that we have obtained a partial fraction expansion
of (s) since ( s) Z( s) + Z T (-s).
852 A.J. VAN DER SCHAFT AND J. C. WILLEMS

Recapitulating we have obtained the following

ALGORITHM
Data (s), the spectral density matrix of the process y.

nonsingular J satisfying fiTj + jfi, =0,/Tj ,.

Step 1. Construct a minimal realization (A, B, C) of (s). Find the unique
Then also J _jT.
Step 2. Find a nonsingular X satisfying /tTx+xt<0, /TE=, X=JX-lJ,
Step 3. Compute E +=ker (I-J-E) and E- =ker(I+J-E). Take a basis
(q,. , q,) for E + and construct the basis (p,..., p,) for E- such that
q.T, jpj= tij i, j= l, n.
In this basis we can write
A= C (H 0)
-R _F T HT
and we will have P pT >= 0 and R R T 0
Step 4. Find the maximal symmetric nonnegative definite solution K of
F TK + KF- KPK + R O.
Step 5. Define A := F-PK, C := H, and O O T> 0 as the unique solution of
OAT + AO =-P. Then (A, O, C) is a minimal realization of y.
Step 6. Let P BB T. Then
dx Ax dt + B dw, x(O) Xo, E{xoxr} Q,

= Cx
is a white noise representation of y.
Remark 8. With respect to the actual calculation of E in Step 2 we can be more
specific. Recall that the signature triple of a symmetric matrix consists of the number
of positive, negative, respectively zero eigenvalues. We make use of the following
LEMMA 8. Let (A, B, C) be a minimal triple (not necessarily satisfying (1) and
(2)). Denote the set of symmetric solutions of (3) and (4) by S(E). Then every element
of S(E) is nonsingular and has the same signature triple. If (A, B, C) also satisfies (1)
and (2) then every element of S(E) has n negative eigenvalues and n positive eigenvalues.
Proof. Let fiE +Efi =-LL. First suppose that (fi,L) is observable. Now let
x Ker E. Then xEx + xrEfi, x -xLLx implies Lx 0. Furthermore Ex +
Ex -LLx implies Efix 0. Therefore Ker E is fi-invariant and contained in Ker L.
By observability of (A, L) it follows that Ker E =0. If (A, L) is not observable we
proceed as follows. By (3) and (4)
(15) (fi-/) TE + X(fi--/) -LTL 2T.
Then" {(fi, ) observable} => {(fi, T)observable} :> {(ft.-/, 2T) observable}
{(ft-,-LTL-2T)"observable}. Therefore as above we can conclude that X
satisfying (15) is nonsingular.
Because S(E) is convex and consists of nonsingular matrices every element of S(E)
has the same signature triple. By Lemma 4 it follows that there exists a X S(E)
satisfying (5). This X has n negative and n positive eigenvalues as can be seen from
(8).
Consider now the following algorithm-(see also [15]).
Let 5;1 be a solution of (3) and (4). Then define
(16) Z/I 1/2(Z + ZI), n->l.
 STOCHASTIC REALIZATION OF SPECTRAL DENSITY MATRICES 853

If E S(E), then also j,-1j S(,). Therefore since every element of $(E) is nonsin-
gular and S(E) is convex, E,+l S(E) for every n 1. From the compactness of S(E)
it follows that Iim,E,S(E). Denote E:=limE,. Then E satisfies E=
( + JELaJ), or equivalently, E JELaZ Furthermore note that we can rewrite (16)
as
(17) x.+ J (x.J +
Since lim (X,J + (X,J) -) equals sign (X,J) (see e.g. [15]), X may be written as (sign
(XnJ))J -1. Concluding, a solution X satisfying (3), (4) and (5) may be computed as
follows. Take any solution X of (3) and (4) (this is a standard problem, see [5]).
-.
Compute X:= (sign (XJ))J Theh X satisfies (3), (4) and (5).
Remark 9. The covariance O in Step 5, uniquely determined by OA + AO -P,
can also be computed directly from the Riccati equation of Step 4. in fact"
LEMMA. 9. Let

C (H O)
-R -F T HT

,
be a minimal realization of a spectral density (s), with P 0, R 0 (such a realization
exists by Theorem 5). From Theorem 7 it follows that (, ) determines a minimal
stochastic realization denoted by (A, O, C). Denote by K + and K- respectively the
maximal and minimal symmetric solutions of the Riccati equation associated to (11)"
F TK + KF + KPF- R 0.
Then O (K +- K-) -1 (under the conditions of Theorem 7, K +- K- is necessarily >0,
c [13]).
Proof. After the basis transformation (_+ ), is given by

with F- PK +.
_(F +) T
Let ( x be a vector in Im (. Then, since F+O+ OF+=-P (see (13))"

(0 x=, +, x.

Therefore, in this new basis, Im (o) equals the positive eigenspace of since F + is
asymptotically stable. Hence in the original basis the positive eigenspace of A is given
by

(KI+ )Im(O)=Im(_K+O+
On the other hand we know that the positive eigenspace of is also given by Im (-).
Therefore

Im (-O) (_)
_K+O+I im

or (K+-K-)O= I.
Remark 10. After having fixed a E satisfying (3), (4) and (5), the stochastic
realization (A, O, C) obtained in our algorithm is uniquely determined (up to basis
transformations). The freedom in the choice of the covariance O as appearing in
Theorem 2 (or alternatively the freedom in the choice of a spectral factorization of
854 A.J. VAN DER SCHAFT AND J. C. WlLLEMS

the spectral density, cf. [2] and Remark 7) is therefore equivalent to the freedom in
the choice of a E satisfying (3), (4) and (5).
Remark 11. Consider a stochastic vector process y with autocorrelation function
R which admits a minimal white noise representation dx Ax dt + B dw, Cx, as
explained in Remark 1. Then it is easy to see that the following equivalences hold: {y
is ergodic}:> {liml,l_. R(t) 0}:>{(A, B) is controllable} :> {Re or(A) < 0}.
As we have seen in Theorem 7, if we start from a rational spectral density (s)
we always arrive at a controllable, asymptotically stable white noise representation.
Therefore a rational spectral density always corresponds to an ergodic process. On
the other hand to give a stochastic realization of an autocorrelation function it is not
necessary to assume that the proess is ergodic. In some sense this is disadvantage of
our approach. However the theory of 3 may be extended to cover the nonergodic
case as well. It can be easily seen that the following is true. Let (F, G, H) be a realization
of R, i.e. R/(t)= HeVtG. Define the Hamiltonian system (fi,/, ) by
0
(18) A _F r
/= C=(H -Gr).
Hr
Then"
{R is the autocorrelation function of an ergodic process y}:> {(A, B, C) is a minimal
triple}. If the process is ergodic (or (A, B, C) is minimal) then it has spectral density
(I)( s) (IS )-l J.
Finally we note that the spectral density of a nonergodic process is in a certain sense
k
irrational. It is in fact of the form Y = 7r(6(w--Wi)+6(o+wi)) with{jw}thespectrum
of the generator of the nonergodic part (cf. [10]).
4. Conclusions. In this paper we have given a procedure for the stochastic realiz-
ation of a spectral density matrix which starts by treating the spectral density as a
(fictitious) transfer function. As such this transfer function has a symplectic structure
and is passive. This structure is then exploited to arrive at a stochastic realization.
In comparison with the usual approach our method avoids having to factor the
spectral density additively into its analytic and co-analytic part. However which of the
two approaches would algorithmically be the most advantageous remains a matter of
study.

REFERENCES
[1] R. ABRAHAM AND J. E. MARSDEN, Foundations of Mechanics, Benjamin/Cummings, New York,
1978.
[2] B. D. O. ANDERSON, The inverse problem of stationary covariance generation, J. Statist. Phys.,
(1969), pp. 133-147.
[2] R. W. BROCKETT AND A. RAHIMI, Lie algebras and linear differential equations, in Ordinary
Differential Equations, L. Weiss, ed., Academic Press, New York, 1972, pp. 379-386.
[4] P. FAURRE, Rdalisations Markoviennes de processus stationaires, Report IRIA, No. 13, 1973.
[5] P. FAURRE, M. CLERGET AND F. GERMAIN, Opd.rateurs rationnels positifs, Dunod, Paris, 1979.
[6] R. E. KALMAN, Linear stochastic filtering theory--Reappraisal and outlook, Proc. Brooklyn Polytechnic
Symposium on System Theory, New York, 1965, pp. 197-205.
[7] V. KUCERA, A review of the matrix Riccati equation, Kybernetika, 9 (1973), pp. 42-61.
[8] A. LINDQUIST AND G. PICCI, On the stochastic realization problem, this Journal, 17 (1979), pp.
365-390.
[9.] K. R. MEYER, Hamiltonian systems with a discrete symmetry, J. Differential Equations, 41 (1981),
pp. 228-238.
10] A. PAPOULIS, Probability, Random Variables,. and Stochastic Processes, McGraw-Hill, New York, 1965.
 STOCHASTIC REALIZATION OF SPECTRAL DENSITY MATRICES 855

[11] G. RUCKEBUSH, Representations markoviennes de processus gaussiens stationaires, Thesis, Univ de

Paris VI, 1975.
[12] A. J. VAN DER SCHArT, Time-reversible Hamiltonian systems, Systems & Control Letters, 1 (1982),
pp. 295-300.
[13] J. C. WILLEMS, Least squares stationary optimal control and the algebraic Riccati equation, IEEE Trans.
Automat. Control, AC-16 (1971), pp. 621-634.
[14] , Realization of systems with internal passivity and symmetry constraints, J. Franklin Institute,
301 (1967), pp. 605-621.
[15] , Dissipative dynamical systems, Part II: Linear systems with quadratic supply rates, Arch. Rat.
Mech. Anal., 45 (1972), pp. 352-393.
[16] A. M. YAGLOM, An Introduction to the Theory of Stationary Random Functions, Dover, New York,
1973.