An interpretation of the dual problem of the THREE-like approaches
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Publication:901098
DOI10.1016/J.AUTOMATICA.2015.09.023zbMATH Open1329.93132arXiv1409.3957OpenAlexW1456532987MaRDI QIDQ901098FDOQ901098
Authors: Mattia Zorzi 
Publication date: 23 December 2015
Published in: Automatica (Search for Journal in Brave)
Abstract: Spectral estimation can be preformed using the so called THREE-like approach. Such method leads to a convex optimization problem whose solution is characterized through its dual problem. In this paper, we show that the dual problem can be seen as a new parametric spectral estimation problem. This interpretation implies that the THREE-like solution is optimal in terms of closeness to the correlogram over a certain parametric class of spectral densities, enriching in this way its meaningfulness.
Full work available at URL: https://arxiv.org/abs/1409.3957
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Eigenvalue problems (93B60) Stochastic systems in control theory (general) (93E03) Duality theory (optimization) (49N15)
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Cited In (10)
- The harmonic analysis of kernel functions
- M$^2$ Spectral Estimation: A Flexible Approach Ensuring Rational Solutions
- A Well-Posed Multidimensional Rational Covariance and Generalized Cepstral Extension Problem
- Convergence Analysis of a Family of Robust Kalman Filters Based on the Contraction Principle
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