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
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