In this paper, we consider the problem of finding, among solutions of a moment problem, the best Kullback-Leibler approximation of a given a priori spectral density. We present a new complete existence proof for the dual optimization problem in the Byrnes-Lindquist spirit. We also prove a descent property for a matricial iterative method for the numerical solution of the dual problem. The latter has proven to perform extremely well in simulation testbeds.
Further results on the Byrnes-Georgiou-Lindquist generalized moment problem
FERRANTE, AUGUSTO;PAVON, MICHELE;
2007
Abstract
In this paper, we consider the problem of finding, among solutions of a moment problem, the best Kullback-Leibler approximation of a given a priori spectral density. We present a new complete existence proof for the dual optimization problem in the Byrnes-Lindquist spirit. We also prove a descent property for a matricial iterative method for the numerical solution of the dual problem. The latter has proven to perform extremely well in simulation testbeds.
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