Least-squares approximation of structured covariances

Fu Lin, Mihailo R. Jovanovic

Research output: Contribution to journalArticlepeer-review

10 Scopus citations

Abstract

State covariances of linear systems satisfy certain constraints imposed by the underlying dynamics. These constraints dictate a particular structure of state covariances. However, sample covariances almost always fail to have the required structure. The renewed interest in using state covariances for estimating the power spectra of inputs gives rise to the approximation problem. In this note, the structured covariance least-squares problem is formulated and the Lyapunov-type matricial linear constraint is converted into an equivalent set of trace constraints. Efficient unconstrained maximization methods capable of solving the corresponding dual problem are developed.

Original languageEnglish (US)
Pages (from-to)1643-1648
Number of pages6
JournalIEEE Transactions on Automatic Control
Volume54
Issue number7
DOIs
StatePublished - Jul 3 2009

Keywords

  • Convex optimization
  • Least-squares approximation
  • Structured covariances

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