The Georgiou-Lindquist problem of Kullback- Leibler approximation of a spectrum with spectra that are consistent with given state-covariance statistics is considered. An alternative solution algorithm is presented. Simulation indicates that the algorithm is extremely effective.
A new algorithm for Kullback-Leibler approximation of spectral densities
PAVON, MICHELE;FERRANTE, AUGUSTO
2005
Abstract
The Georgiou-Lindquist problem of Kullback- Leibler approximation of a spectrum with spectra that are consistent with given state-covariance statistics is considered. An alternative solution algorithm is presented. Simulation indicates that the algorithm is extremely effective.
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