Title :
On the Georgiou-Lindquist approach to constrained Kullback-Leibler approximation of spectral densities
Author :
Pavon, Michele ; Ferrante, Augusto
Author_Institution :
Dipt. di Matematica Pura ed Applicata, Univ. di Padova, Italy
fDate :
4/1/2006 12:00:00 AM
Abstract :
We consider the Georgiou-Lindquist constrained approximation of spectra in the Kullback-Leibler sense. We propose an alternative iterative algorithm to solve the corresponding convex optimization problem. The Lagrange multiplier is computed as a fixed point of a nonlinear matricial map. Simulation indicates that the algorithm is extremely effective.
Keywords :
approximation theory; duality (mathematics); iterative methods; matrix algebra; Kullback-Leibler pseudodistance; Lagrange multiplier; convex optimization; iterative algorithm; nonlinear matricial map; spectral densities; Computational modeling; Frequency; Iterative algorithms; Lagrangian functions; Process control; Signal processing; Signal processing algorithms; Signal resolution; State estimation; Statistics; Approximation of spectral densities; Kullback–Leibler pseudodistance; convex optimization; fixed point; spectral estimation;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.2006.872755
