Rational approximations of spectral densities based on the Alpha divergence

DOI10.1007/S00498-013-0118-2zbMATH Open1290.93172arXiv1302.5131OpenAlexW3100152849MaRDI QIDQ2250010FDOQ2250010

Authors: Mattia Zorzi 

Publication date: 4 July 2014

Published in: MCSS. Mathematics of Control, Signals, and Systems (Search for Journal in Brave)

Abstract: We approximate a given rational spectral density by one that is consistent with prescribed second-order statistics. Such an approximation is obtained by minimizing a suitable distance from the given spectrum and under the constraints corresponding to imposing the given second-order statistics. Here, we consider the Alpha divergence family as a distance measure. We show that the corresponding approximation problem leads to a family of rational solutions. Secondly, such a family contains the solution which generalizes the Kullback-Leibler solution proposed by Georgiou and Lindquist in 2003. Finally, numerical simulations suggest that this family contains solutions close to the non-rational solution given by the principle of minimum discrimination information.

Full work available at URL: https://arxiv.org/abs/1302.5131

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zbMATH Keywords

convex optimizationKullback-Leibler divergencespectral estimationAlpha divergence familyapproximation of power spectra

Mathematics Subject Classification ID

Eigenvalue problems (93B60) Stochastic systems in control theory (general) (93E03)

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• Empirical Bayesian learning in AR graphical models
• On the robustness of the Bayes and Wiener estimators under model uncertainty
• Graphical model selection for a particular class of continuous-time processes
• Discrete-time negative imaginary systems
• An interpretation of the dual problem of the THREE-like approaches
• A contraction analysis of the convergence of risk-sensitive filters
• Multidimensional rational covariance extension with applications to spectral estimation and image compression
• \(M^2\)-spectral estimation: a relative entropy approach
• Multidimensional Rational Covariance Extension with Approximate Covariance Matching
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