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

DOI10.1109/TAC.2010.2057171zbMath1368.93678arXiv0911.0434OpenAlexW2143135249MaRDI QIDQ5347633

Augusto Ferrante, Francesco Ticozzi, Federico Alessandro 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

Inference from stochastic processes and spectral analysis (62M15) Convex programming (90C25) Estimation and detection in stochastic control theory (93E10)

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