Title :
A new algorithm for Kullback-Leibler approximation of spectral densities
Author :
Pavon, Michele ; Ferrante, Augusto
Author_Institution :
Dipartimento di Matematica Pura e Applicita, Università di Padova, via Belzoni 7, 35131 Padova, Italy pavon@math.unipd.it
Abstract :
The Georgiou-Lindquist problem of Kullback- Leibler approximation of a spectrum with spectra that are consistent with given state-covariance statistics is considered. An alternative solution algorithm is presented. Simulation indicates that the algorithm is extremely effective.
Keywords :
Algorithm design and analysis; Analytical models; Approximation algorithms; Control systems; Electrical equipment industry; Industrial control; Lagrangian functions; State estimation; Statistics; Transfer functions;
Conference_Titel :
Decision and Control, 2005 and 2005 European Control Conference. CDC-ECC '05. 44th IEEE Conference on
Print_ISBN :
0-7803-9567-0
DOI :
10.1109/CDC.2005.1583344
