In this paper, we consider the problem of finding, among solutions of a moment problem, the best Kullback-Leibler approximation of a given a priori spectral density. We present a new complete existence proof for the dual optimization problem in the Byrnes-Lindquist spirit. We also prove a descent property for a matricial iterative method for the numerical solution of the dual problem. The latter has proven to perform extremely well in simulation testbeds.

Further Results on the Byrnes-Georgiou-Lindquist Generalized Moment Problem

RAMPONI, Federico Alessandro
2007-01-01

Abstract

In this paper, we consider the problem of finding, among solutions of a moment problem, the best Kullback-Leibler approximation of a given a priori spectral density. We present a new complete existence proof for the dual optimization problem in the Byrnes-Lindquist spirit. We also prove a descent property for a matricial iterative method for the numerical solution of the dual problem. The latter has proven to perform extremely well in simulation testbeds.
2007
978-354073569-4
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11379/484478
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