Transport metrics for power spectra

Johan Karlsson, Mir Shahrouz Takyar, Tryphon T. Georgiou

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

We present a family of metrics for power spectra based on the Monge-Kantorivic transportation distances. These metrics are constructed so that distances reduce with additive and multiplicative noise, reflecting the intuition that noise typically reduces our ability to discriminate spectra. In addition, perturbations measured in these metrics are continuous with respect to the statistics of the underlying time series. A general framework for constructing such metrics is put forth and these are contrasted with an earlier Riemannian metric which is based on prediction theory and the relevant geometry of the underlying time-series.

Original languageEnglish (US)
Title of host publicationProceedings of the 47th IEEE Conference on Decision and Control, CDC 2008
Pages143-148
Number of pages6
DOIs
StatePublished - Dec 1 2008
Event47th IEEE Conference on Decision and Control, CDC 2008 - Cancun, Mexico
Duration: Dec 9 2008Dec 11 2008

Publication series

NameProceedings of the IEEE Conference on Decision and Control
ISSN (Print)0191-2216

Other

Other47th IEEE Conference on Decision and Control, CDC 2008
CountryMexico
CityCancun
Period12/9/0812/11/08

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