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Approximative Linear and Logarithmic Interpolation of Spectra
KTH, Skolan för teknikvetenskap (SCI), Matematik (Inst.), Optimeringslära och systemteori.
KTH, Skolan för teknikvetenskap (SCI), Matematik (Inst.), Optimeringslära och systemteori.
2009 (engelsk)Rapport (Annet vitenskapelig)
Abstract [en]

Given output data of a stationary stochastic process estimates of covariance and cepstrum parameters can be obtained. These estimates can be used to determine ARMA models to approximately fit the data by matching the parameters exactly. However, the estimates of the parameters may contain large errors, especially if they are determined from short data sequences, and thus it makes sense to match the parameters in an approximate way. Here we consider a convex method for solving an approximate linear and logarithmic spectrum interpolation problem while maximizing the entropy and penalize the quadratic deviation from the nominal parameters.

sted, utgiver, år, opplag, sider
Stockholm: KTH Royal Institute of Technology , 2009. , s. 25
Serie
TRITA-MAT. OS, ISSN 1401-2294 ; 09:02
HSV kategori
Identifikatorer
URN: urn:nbn:se:kth:diva-39044OAI: oai:DiVA.org:kth-39044DiVA, id: diva2:439295
Merknad

QC 20110907

Tilgjengelig fra: 2011-09-08 Laget: 2011-09-07 Sist oppdatert: 2014-09-24bibliografisk kontrollert
Inngår i avhandling
1. Spectral Moment Problems: Generalizations, Implementation and Tuning
Åpne denne publikasjonen i ny fane eller vindu >>Spectral Moment Problems: Generalizations, Implementation and Tuning
2011 (engelsk)Doktoravhandling, med artikler (Annet vitenskapelig)
Abstract [en]

Spectral moment interpolation find application in a wide array of use cases: robust control, system identification, model reduction to name the most notable ones. This thesis aims to expand the theory of such methods in three different directions. The first main contribution concerns the practical applicability. From this point of view various solving algorithm and their properties are considered. This study lead to identify a globally convergent method with excellent numerical properties. The second main contribution is the introduction of an extended interpolation problem that allows to model ARMA spectra without any explicit information of zero’s positions. To this end it was necessary for practical reasons to consider an approximated interpolation insted. Finally, the third main contribution is the application to some problems such as graphical model identification and ARMA spectral approximation.

sted, utgiver, år, opplag, sider
Stockholm: KTH Royal Institute of Technology, 2011. s. xii, 10
Serie
Trita-MAT. OS, ISSN 1401-2294 ; 11:06
HSV kategori
Identifikatorer
urn:nbn:se:kth:diva-39026 (URN)978-91-7501-087-8 (ISBN)
Disputas
2011-09-16, Sal F2, Lindstedtsvägen 26, KTH, Stockholm, 10:00 (engelsk)
Opponent
Veileder
Merknad
QC 20110906Tilgjengelig fra: 2011-09-06 Laget: 2011-09-06 Sist oppdatert: 2011-09-08bibliografisk kontrollert

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