Optimal Transport between Gaussian Stationary Processes

DOI10.1109/TAC.2020.3046567MaRDI QIDQ6348469arXivFDO

Authors Mattia Zorzi

Publication date 5 September 2020

Published in arXiv

Full work available at URL https://doi.org/10.1109/TAC.2020.3046567

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Convex programming (90C25) Multivariable systems, multidimensional control systems (93C35) Optimal stochastic control (93E20)

arXiv classification

math.OC

Abstract: We consider the optimal transport problem between multivariate Gaussian stationary stochastic processes. The transportation effort is the variance of the filtered discrepancy process. The main contribution of this technical note is to show that the corresponding solution leads to a weighted Hellinger distance between multivariate power spectral densities. Then, we propose a spectral estimation approach in the case of indirect measurements which is based on this distance.

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