TY - GEN
T1 - Constrained spectrum approximation in the Hellinger distance
AU - Ferrante, Augusto
AU - Pavon, Michele
AU - Ramponi, Federico
N1 - Publisher Copyright:
© 2007 EUCA.
PY - 2007
Y1 - 2007
N2 - We consider the Georgiou-Lindquist problem of approximating a spectral density function with spectra that are consistent with given state-covariance. Rather than the Kullback-Leibler pseudo-distance, however, we employ the Hellinger distance. We characterize the optimal solution and provide an iterative scheme for the Lagrange multiplier matrix that allows to solve numerically the dual problem.
AB - We consider the Georgiou-Lindquist problem of approximating a spectral density function with spectra that are consistent with given state-covariance. Rather than the Kullback-Leibler pseudo-distance, however, we employ the Hellinger distance. We characterize the optimal solution and provide an iterative scheme for the Lagrange multiplier matrix that allows to solve numerically the dual problem.
UR - http://www.scopus.com/inward/record.url?scp=84927741329&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84927741329&partnerID=8YFLogxK
U2 - 10.23919/ecc.2007.7068705
DO - 10.23919/ecc.2007.7068705
M3 - Conference contribution
AN - SCOPUS:84927741329
T3 - 2007 European Control Conference, ECC 2007
SP - 322
EP - 327
BT - 2007 European Control Conference, ECC 2007
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 2007 9th European Control Conference, ECC 2007
Y2 - 2 July 2007 through 5 July 2007
ER -