DocumentCode
3127618
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
fYear
2005
fDate
12-15 Dec. 2005
Firstpage
7332
Lastpage
7337
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 2005 and 2005 European Control Conference. CDC-ECC '05. 44th IEEE Conference on
Print_ISBN
0-7803-9567-0
Type
conf
DOI
10.1109/CDC.2005.1583344
Filename
1583344
Link To Document