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

DOI10.1109/TAC.2010.2057171MaRDI QIDQ5347633zbMATH OpenOpenAlexFDO

Authors Augusto Ferrante, Francesco Ticozzi, Federico Ramponi

Publication date 25 August 2017

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

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)

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.

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
• On the well-posedness of multivariate spectrum approximation and convergence of high-resolution spectral estimators
• Variance error, interpolation and experiment design
• A micro-macro acceleration method for the Monte Carlo simulation of stochastic differential equations
• 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

This page was built for publication: On the Convergence of an Efficient Algorithm for Kullback–Leibler Approximation of Spectral Densities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5347633)