A new algorithm for Kullback-Leibler approximation of spectral densities

Michele Pavon; Augusto Ferrante

doi:10.1109/CDC.2005.1583344

A new algorithm for Kullback-Leibler approximation of spectral densities

Michele Pavon, Augusto Ferrante

Mathematics

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Abstract

The Georgiou-Lindquist problem of Kullback-Leibler approximation of a spectrum with spectra that are consistent with given state-covariance statistics is considered. An alternative solution algorithm is presented. Simulation indicates that the algorithm is extremely effective.

Original language	English (US)
Title of host publication	Proceedings of the 44th IEEE Conference on Decision and Control, and the European Control Conference, CDC-ECC '05
Pages	7332-7337
Number of pages	6
DOIs	https://doi.org/10.1109/CDC.2005.1583344
State	Published - 2005
Event	44th IEEE Conference on Decision and Control, and the European Control Conference, CDC-ECC '05 - Seville, Spain Duration: Dec 12 2005 → Dec 15 2005

Publication series

Name	Proceedings of the 44th IEEE Conference on Decision and Control, and the European Control Conference, CDC-ECC '05
Volume	2005

Other

Other	44th IEEE Conference on Decision and Control, and the European Control Conference, CDC-ECC '05
Country/Territory	Spain
City	Seville
Period	12/12/05 → 12/15/05

ASJC Scopus subject areas

General Engineering

Access to Document

10.1109/CDC.2005.1583344

Cite this

Pavon, M., & Ferrante, A. (2005). A new algorithm for Kullback-Leibler approximation of spectral densities. In Proceedings of the 44th IEEE Conference on Decision and Control, and the European Control Conference, CDC-ECC '05 (pp. 7332-7337). Article 1583344 (Proceedings of the 44th IEEE Conference on Decision and Control, and the European Control Conference, CDC-ECC '05; Vol. 2005). https://doi.org/10.1109/CDC.2005.1583344

A new algorithm for Kullback-Leibler approximation of spectral densities. / Pavon, Michele; Ferrante, Augusto.
Proceedings of the 44th IEEE Conference on Decision and Control, and the European Control Conference, CDC-ECC '05. 2005. p. 7332-7337 1583344 (Proceedings of the 44th IEEE Conference on Decision and Control, and the European Control Conference, CDC-ECC '05; Vol. 2005).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Pavon, M & Ferrante, A 2005, A new algorithm for Kullback-Leibler approximation of spectral densities. in Proceedings of the 44th IEEE Conference on Decision and Control, and the European Control Conference, CDC-ECC '05., 1583344, Proceedings of the 44th IEEE Conference on Decision and Control, and the European Control Conference, CDC-ECC '05, vol. 2005, pp. 7332-7337, 44th IEEE Conference on Decision and Control, and the European Control Conference, CDC-ECC '05, Seville, Spain, 12/12/05. https://doi.org/10.1109/CDC.2005.1583344

Pavon M, Ferrante A. A new algorithm for Kullback-Leibler approximation of spectral densities. In Proceedings of the 44th IEEE Conference on Decision and Control, and the European Control Conference, CDC-ECC '05. 2005. p. 7332-7337. 1583344. (Proceedings of the 44th IEEE Conference on Decision and Control, and the European Control Conference, CDC-ECC '05). doi: 10.1109/CDC.2005.1583344

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A new algorithm for Kullback-Leibler approximation of spectral densities

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