Title :
Constrained spectrum approximation in the Hellinger distance
Author :
Ferrante, Augusto ; Pavon, Michele ; Ramponi, Federico
Author_Institution :
Dipt. di Ing. dell´Inf., Univ. di Padova, Padua, Italy
Abstract :
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.
Keywords :
approximation theory; iterative methods; matrix algebra; statistical distributions; Georgiou-Lindquist problem; Hellinger distance; Lagrange multiplier matrix; constrained spectrum approximation; iterative scheme; spectral density function; state-covariance; Density functional theory; Entropy; Estimation; Interpolation; Shape; Stochastic processes;
Conference_Titel :
Control Conference (ECC), 2007 European
Conference_Location :
Kos
Print_ISBN :
978-3-9524173-8-6