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Prediction-error approximation by convex optimization
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Optimization and Systems Theory. KTH, School of Engineering Sciences (SCI), Centres, Center for Industrial and Applied Mathematics, CIAM. KTH, School of Electrical Engineering (EES), Centres, ACCESS Linnaeus Centre.ORCID iD: 0000-0002-2681-8383
2007 (English)In: Modeling, Estimation and Control:Festschrift in honor of Giorgio Picci on the occation of his sixty-fifth birthday, BERLIN: SPRINGER-VERLAG BERLIN , 2007, Vol. 364, 239-249 p.Chapter in book (Refereed)
Abstract [en]

This paper is dedicated to Giorgio Picci on the occasion of his 65th birthday. I have come to appreciate Giorgio not only as a great friend but also as a great scholar. When we first met at Brown University in 1973, he introduced me to his seminal paper [29] on splitting subspaces, which became the impetus for our joint work on the geometric theory of linear stochastic systems [23,24,25,26]. This led to a life-long friendship and a book project that never seemed to converge, but now is close to being finished [27]. I have learned a lot from Giorgio. The present paper grew out of a discussion in our book project, when Giorgio taught me about the connections between prediction-error identification and the Kullback-Leibler criterion. These concepts led directly into the recent theory of analytic interpolation with complexity constraint, with which I have been deeply involved in recent times. I shall try to explain these connections in the following paper.

Place, publisher, year, edition, pages
BERLIN: SPRINGER-VERLAG BERLIN , 2007. Vol. 364, 239-249 p.
, Kapitel i bok, del av antologi, ISSN 0170-8643
Keyword [en]
nevanlinna-pick interpolation, preserving model-reduction, complexity constraint, covariance extension, spectral estimation, gaussian-processes, identification, realization, entropy
National Category
Computer and Information Science
URN: urn:nbn:se:kth:diva-39385DOI: 10.1007/978-3-540-73570-0_19ISI: 000250428800019ScopusID: 2-s2.0-35549007999ISBN: 978-3-540-73569-4OAI: diva2:440876
International Conference on Modeling, Estimation and Control held in Honor of Giorgio Picci on the 60th Birthday. Venice, ITALY. OCT 04-05, 2007

QC 20110914

Available from: 2011-09-14 Created: 2011-09-09 Last updated: 2016-05-23Bibliographically approved

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