论文信息 - Optimization with respect to covariance sequence parameters

Optimization with respect to covariance sequence parameters

A general problem involving optimization of a covariance sequence is considered in the paper. One difficulty with this class of problems is to ensure that the covariance sequence is nonnegative definite (in other words, realizable). It is suggested that this difficulty can be overcome by reformulating the optimization problem in terms of the partial autocorrelation coefficients (PAC). One need only constrain these coefficients to lie in the range (-1, 1) to guarantee that the corresponding covariance sequence is nonnegative definite. The synthesis of a signal realizing the optimizing covariance sequence is also discussed. Special emphasis is given to the case when some of the PACs are either +1 or -1.

Petre Stoica | Torsten Söderström | T. Söderström | P. Stoica

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