• DocumentCode
    404124
  • Title

    An algebraic characterization of covariance extension problem and its applications

  • Author

    Ohara, Atsumi

  • Author_Institution
    Dept. of Syst. Sci., Osaka Univ., Japan
  • Volume
    6
  • fYear
    2003
  • fDate
    9-12 Dec. 2003
  • Firstpage
    5795
  • Abstract
    The paper considers rational covariance extension problem using impulse response sequences (Markov parameters). First the properties of the parametrization and structure of the parameter space are discussed. Second, on the parameter space we characterize important extensions and propose new interesting extensions. We show many of them (in particular maximum entropy extension and its robust variants) can be solved via semidefinite programming.
  • Keywords
    Markov processes; algebra; convex programming; covariance analysis; linear matrix inequalities; maximum entropy methods; parameter estimation; transient response; Markov parameters; algebraic characterization; convex programming; covariance extension problem; impulse response sequences; linear matrix inequality; maximum entropy extension; semidefinite programming; Covariance matrix; Entropy; Information filtering; Information filters; Linear matrix inequalities; MONOS devices; Random processes; Robustness; Signal processing; Speech processing;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control, 2003. Proceedings. 42nd IEEE Conference on
  • ISSN
    0191-2216
  • Print_ISBN
    0-7803-7924-1
  • Type

    conf

  • DOI
    10.1109/CDC.2003.1271929
  • Filename
    1271929