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

Francesca P. Carli; Augusto Ferrante; Michele Pavon; Giorgio Picci

doi:10.1109/CDC.2011.6160537

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

Francesca P. Carli, Augusto Ferrante, Michele Pavon, Giorgio Picci

Mathematics

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

Abstract

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.

Original language	English (US)
Title of host publication	2011 50th IEEE Conference on Decision and Control and European Control Conference, CDC-ECC 2011
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	2963-2968
Number of pages	6
ISBN (Print)	9781612848006
DOIs	https://doi.org/10.1109/CDC.2011.6160537
State	Published - 2011
Event	2011 50th IEEE Conference on Decision and Control and European Control Conference, CDC-ECC 2011 - Orlando, FL, United States Duration: Dec 12 2011 → Dec 15 2011

Publication series

Name	Proceedings of the IEEE Conference on Decision and Control
ISSN (Print)	0743-1546
ISSN (Electronic)	2576-2370

Other

Other	2011 50th IEEE Conference on Decision and Control and European Control Conference, CDC-ECC 2011
Country/Territory	United States
City	Orlando, FL
Period	12/12/11 → 12/15/11

ASJC Scopus subject areas

Control and Systems Engineering
Modeling and Simulation
Control and Optimization

Access to Document

10.1109/CDC.2011.6160537

Cite this

Carli, F. P., Ferrante, A., Pavon, M., & Picci, G. (2011). An efficient algorithm for dempster's completion of block-circulant covariance matrices. In 2011 50th IEEE Conference on Decision and Control and European Control Conference, CDC-ECC 2011 (pp. 2963-2968). Article 6160537 (Proceedings of the IEEE Conference on Decision and Control). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/CDC.2011.6160537

An efficient algorithm for dempster's completion of block-circulant covariance matrices. / Carli, Francesca P.; Ferrante, Augusto; Pavon, Michele et al.
2011 50th IEEE Conference on Decision and Control and European Control Conference, CDC-ECC 2011. Institute of Electrical and Electronics Engineers Inc., 2011. p. 2963-2968 6160537 (Proceedings of the IEEE Conference on Decision and Control).

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

Carli, FP, Ferrante, A, Pavon, M & Picci, G 2011, An efficient algorithm for dempster's completion of block-circulant covariance matrices. in 2011 50th IEEE Conference on Decision and Control and European Control Conference, CDC-ECC 2011., 6160537, Proceedings of the IEEE Conference on Decision and Control, Institute of Electrical and Electronics Engineers Inc., pp. 2963-2968, 2011 50th IEEE Conference on Decision and Control and European Control Conference, CDC-ECC 2011, Orlando, FL, United States, 12/12/11. https://doi.org/10.1109/CDC.2011.6160537

Carli FP, Ferrante A, Pavon M, Picci G. An efficient algorithm for dempster's completion of block-circulant covariance matrices. In 2011 50th IEEE Conference on Decision and Control and European Control Conference, CDC-ECC 2011. Institute of Electrical and Electronics Engineers Inc. 2011. p. 2963-2968. 6160537. (Proceedings of the IEEE Conference on Decision and Control). doi: 10.1109/CDC.2011.6160537

Carli, Francesca P. ; Ferrante, Augusto ; Pavon, Michele et al. / An efficient algorithm for dempster's completion of block-circulant covariance matrices. 2011 50th IEEE Conference on Decision and Control and European Control Conference, CDC-ECC 2011. Institute of Electrical and Electronics Engineers Inc., 2011. pp. 2963-2968 (Proceedings of the IEEE Conference on Decision and Control).

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

Abstract

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