1. Hellinger Versus Kuliback-Leibler Multivariable Spectrum Approximation.
- Author
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Ferrante, Augusto, Pavon, Michele, and Ramponi, Federico
- Subjects
APPROXIMATION theory ,DUALITY theory (Mathematics) ,MATHEMATICAL optimization ,SPECTRAL energy distribution ,ALGORITHMS ,SIMULATION methods & models ,INTERPOLATION - Abstract
In this paper, we study a matricial version of a generalized moment problem with degree constraint. We introduce a new metric on multivariable spectral densities induced by the family of their spectral factors, which, in the scalar case, reduces to the Hellinger distance. We solve the corresponding constrained optimization problem via duality theory. A highly nontrivial existence theorem for the dual problem is established in the Byrnes-Lindquist spirit. A matricial Newton-type algorithm is finally provided for the numerical solution of the dual problem. Simulation indicates that the algorithm performs effectively and reliably. [ABSTRACT FROM AUTHOR]
- Published
- 2008
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