On the Georgiou-Lindquist approach to constrained Kullback-Leibler approximation of spectral densities

被引：33

作者：

Pavon, M

Ferrante, A

机构：

[1] Univ Padua, Dipartimento Matemat Pura & Applicata, I-35131 Padua, Italy

[2] Univ Padua, Dipartimento Ingn Informaz, I-35131 Padua, Italy

来源：

IEEE TRANSACTIONS ON AUTOMATIC CONTROL | 2006年 / 51卷 / 04期

关键词：

approximation of spectral densities; convex optimization; fixed point; Kullback-Leibler pseudodistance; spectral estimation;

D O I：

10.1109/TAC.2006.872755

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

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.

引用

页码：639 / 644

页数：6

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