On the Convergence of an Efficient Algorithm for Kullback–Leibler Approximation of Spectral Densities

DOI10.1109/TAC.2010.2057171zbMATH Open1368.93678arXiv0911.0434OpenAlexW2143135249MaRDI QIDQ5347633FDOQ5347633

Authors: Augusto Ferrante, Francesco Ticozzi, Federico Ramponi 

Publication date: 25 August 2017

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

Abstract: This paper deals with a method for the approximation of a spectral density function among the solutions of a generalized moment problem a` la Byrnes/Georgiou/Lindquist. The approximation is pursued with respect to the Kullback-Leibler pseudo-distance, which gives rise to a convex optimization problem. After developing the variational analysis, we discuss the properties of an efficient algorithm for the solution of the corresponding dual problem, based on the iteration of a nonlinear map in a bounded subset of the dual space. Our main result is the proof of local convergence of the latter, established as a consequence of the Central Manifold Theorem. Supported by numerical evidence, we conjecture that, in the mentioned bounded set, the convergence is actually global.

Full work available at URL: https://arxiv.org/abs/0911.0434

Mathematics Subject Classification ID

Convex programming (90C25) Inference from stochastic processes and spectral analysis (62M15) Estimation and detection in stochastic control theory (93E10)

Cited In (10)

• Lower bounds of success probabilities for high-fidelity approach in KLM scheme
• Information matrix and D-optimal design with Gaussian inputs for Wiener model identification
• A micro-macro acceleration method for the Monte Carlo simulation of stochastic differential equations
• On the well-posedness of multivariate spectrum approximation and convergence of high-resolution spectral estimators
• Variance error, interpolation and experiment design
• An interpretation of the dual problem of the THREE-like approaches
• Analysis of a micro-macro acceleration method with minimum relative entropy moment matching
• Optimal Kullback-Leibler Aggregation via Spectral Theory of Markov Chains
• Rational approximations of spectral densities based on the Alpha divergence
• Analyzing the impact of regularization on REMSE

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