On the Georgiou-Lindquist approach to constrained Kullback-Leibler approximation of spectral densities

Michele Pavon; Augusto Ferrante

doi:10.1109/TAC.2006.872755

On the Georgiou-Lindquist approach to constrained Kullback-Leibler approximation of spectral densities

Michele Pavon, Augusto Ferrante

Mathematics

Research output: Contribution to journal › Article › peer-review

Abstract

We consider the Georgiou-Lindquist constrained approximation of spectra in the Kullback-Leibler sense. We propose an alternative iterative algorithm to solve the corresponding convex optimization problem. The Lagrange multiplier is computed as a fixed point of a nonlinear matricial map. Simulation indicates that the algorithm is extremely effective.

Original language	English (US)
Pages (from-to)	639-644
Number of pages	6
Journal	IEEE Transactions on Automatic Control
Volume	51
Issue number	4
DOIs	https://doi.org/10.1109/TAC.2006.872755
State	Published - Apr 2006

Keywords

Approximation of spectral densities
Convex optimization
Fixed point
Kullback-Leibler pseudodistance
Spectral estimation

ASJC Scopus subject areas

Control and Systems Engineering
Computer Science Applications
Electrical and Electronic Engineering

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10.1109/TAC.2006.872755

Cite this

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KW - Spectral estimation

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On the Georgiou-Lindquist approach to constrained Kullback-Leibler approximation of spectral densities

Abstract

Keywords

ASJC Scopus subject areas

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