Further results on the Byrnes-Georgiou-Lindquist generalized moment problem

Augusto Ferrante, Michele Pavon, Federico Ramponi

Research output: Chapter in Book/Report/Conference proceedingConference contribution


In this paper, we consider the problem of finding, among solutions of a moment problem, the best Kullback-Leibler approximation of a given a priori spectral density. We present a new complete existence proof for the dual optimization problem in the Byrnes-Lindquist spirit. We also prove a descent property for a matricial iterative method for the numerical solution of the dual problem. The latter has proven to perform extremely well in simulation testbeds.

Original languageEnglish (US)
Title of host publicationModeling, Estimation and Control
Subtitle of host publicationFestschrift in Honor of Giorgio Picci on the Occasion of his sixty-fifth Birthday
EditorsAlessandro Chiuso, Stefano Pinzoni, Augusto Ferrante
Number of pages11
StatePublished - 2007

Publication series

NameLecture Notes in Control and Information Sciences
ISSN (Print)0170-8643

ASJC Scopus subject areas

  • Library and Information Sciences


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