Convex-structured covariance estimation via the entropy loss under the majorization-minimization algorithm framework
Chen Chen,
Xiangbing Chen,
Yi Ai
Abstract:<abstract><p>We estimated convex-structured covariance/correlation matrices by minimizing the entropy loss corresponding to the given matrix. We first considered the estimation of the Weighted sum of known Rank-one matrices with unknown Weights (W-Rank1-W) structural covariance matrices, which appeared commonly in array signal processing tasks, e.g., direction-of-arrival (DOA) estimation. The associated minimization problem is convex and can be solved using the primal-dual interior-point algorithm.… Show more
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