### Joint CIAM and Optimization and Systems Theory Seminar

Friday May 9, 2008, 11.00-12.00, Room 3721, Lindstedtsvägen 25

Augusto Ferrante, Universita di Padova

E-mail: augusto@ise.ufl.edu

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Multivariate spectrum approximation in the Hellinger distance

We present a matricial version of a generalized moment problem with
degree constraint. We introduce a new metric on multivariable spectral
densities induced by the family of their spectral factors which, in the
scalar case, reduces to the Hellinger distance. We solve the
corresponding constrained optimization problem via duality theory. A
highly nontrivial existence theorem for the dual problem is established
in the Byrnes-Lindquist spirit. A globally convergent matricial
Newton-type algorithm is provided for the numerical solution of the dual
problem.
This procedure is applied to multivariate spectral estimation.
Simulations show that, in the case of short observation records, this
method may provide a valid alternative to standard multivariable
identification techniques such as MATLAB's PEM and MATLAB's N4SID.

Calendar of seminars
*Last update: April 21, 2008 by
Marie Lundin.
*