Hellinger Versus Kullback–Leibler Multivariable Spectrum Approximation

DOI10.1109/TAC.2008.920238MaRDI QIDQ4974204zbMATH OpenOpenAlexFDO

Authors Augusto Ferrante, Michele Pavon, Federico Ramponi

Publication date 8 August 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0702212

Mathematics Subject Classification ID

Moment problems and interpolation problems in the complex plane (30E05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Inference from stochastic processes and spectral analysis (62M15)

Abstract: In this paper, we study a matricial version of the Byrnes-Georgiou-Lindquist generalized moment problem with complexity constraint. We introduce a new metric on multivariable spectral densities induced by the family of their spectral factors which, in the scalar case, reduces to the Hellinger distance. We solve the corresponding constrained optimization problem via duality theory. A highly nontrivial existence theorem for the dual problem is established in the Byrnes-Lindquist spirit. A matricial Newton-type algorithm is finally provided for the numerical solution of the dual problem. Simulation indicates that the algorithm performs effectively and reliably.

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• A maximum entropy approach to the realizability of spin correlation matrices
• An interpretation of the dual problem of the THREE-like approaches
• On the well-posedness of multivariate spectrum approximation and convergence of high-resolution spectral estimators

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