TY - GEN

T1 - An efficient algorithm for dempster's completion of block-circulant covariance matrices

AU - Carli, Francesca P.

AU - Ferrante, Augusto

AU - Pavon, Michele

AU - Picci, Giorgio

PY - 2011

Y1 - 2011

N2 - The present paper deals with maximum entropy completion of partially specified banded block-circulant matrices. This problem has many applications in signal processing since circulants happen to be covariance matrices of stationary periodic processes and maximum entropy completion (i.e. the completion which has maximal determinant) is in fact maximum likelihood estimation subject to conditional independence constraints. Moreover, the maximal determinant completion has the meaning of covariance matrix of stationary reciprocal processes ([18], [20], [21]), a class of stochastic processes which extends Markov processes and is particularly useful for modeling signals indexed by space instead of time (think for example of an image). The maximum entropy completion problem for circulant matrices has been solved in [5] and some generalizations are brougth forth in [6]. The main contribution of this paper is an efficient algorithm for its solution.

AB - The present paper deals with maximum entropy completion of partially specified banded block-circulant matrices. This problem has many applications in signal processing since circulants happen to be covariance matrices of stationary periodic processes and maximum entropy completion (i.e. the completion which has maximal determinant) is in fact maximum likelihood estimation subject to conditional independence constraints. Moreover, the maximal determinant completion has the meaning of covariance matrix of stationary reciprocal processes ([18], [20], [21]), a class of stochastic processes which extends Markov processes and is particularly useful for modeling signals indexed by space instead of time (think for example of an image). The maximum entropy completion problem for circulant matrices has been solved in [5] and some generalizations are brougth forth in [6]. The main contribution of this paper is an efficient algorithm for its solution.

UR - http://www.scopus.com/inward/record.url?scp=84860671893&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84860671893&partnerID=8YFLogxK

U2 - 10.1109/CDC.2011.6160537

DO - 10.1109/CDC.2011.6160537

M3 - Conference contribution

AN - SCOPUS:84860671893

SN - 9781612848006

T3 - Proceedings of the IEEE Conference on Decision and Control

SP - 2963

EP - 2968

BT - 2011 50th IEEE Conference on Decision and Control and European Control Conference, CDC-ECC 2011

PB - Institute of Electrical and Electronics Engineers Inc.

T2 - 2011 50th IEEE Conference on Decision and Control and European Control Conference, CDC-ECC 2011

Y2 - 12 December 2011 through 15 December 2011

ER -