Proceedings of the 44th IEEE Conference on Decision and ControlHelp me understand this report
A new algorithm for Kullback-Leibler approximation of spectral densities
Abstract: The Georgiou-Lindquist problem of KullbackLeibler 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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