A parameterized solution to the simultaneous stabilization problem

In a series of fundamental papers BK Ghosh reduced the simultaneous stabilization problem to a NevanlinnaPick interpolation problem. In this paper we generalize some of these results allowing for derivative constraints. Moreover, we apply a method based on a Riccati-type matrix equation, called the Covariance Extension Equation, which provides a parameterization of all solutions in terms of a monic Schur polynomial. The procedure is illustrated by examples

Likelihood Analysis of Power Spectra and Generalized Moment Problems

We develop an approach to spectral estimation that has been advocated by Ferrante, Masiero and Pavon and, in the context of the scalar-valued covariance extension problem, by Enqvist and Karlsson. The aim is to determine the power spectrum that is consistent with given moments and minimizes the relative entropy between the probability law of the underlying Gaussian stochastic process to that of a prior. The approach is analogous to the framework of earlier work by Byrnes, Georgiou and Lindquist and can also be viewed as a generalization of the classical work by Burg and Jaynes on the maximum entropy method. In the present paper we present a new fast algorithm in the general case (i.e., for general Gaussian priors) and show that for priors with a specific structure the solution can be given in closed form.Comment: 17 pages, 4 figure

Rational Covariance Extension, Multivariate Spectral Estimation, and Related Moment Problems: Further Results and Applications

This dissertation concerns the problem of spectral estimation subject to moment constraints. Its scalar counterpart is well-known under the name of rational covariance extension which has been extensively studied in past decades. The classical covariance extension problem can be reformulated as a truncated trigonometric moment problem, which in general admits infinitely many solutions. In order to achieve positivity and rationality, optimization with entropy-like functionals has been exploited in the literature to select one solution with a fixed zero structure. Thus spectral zeros serve as an additional degree of freedom and in this way a complete parametrization of rational solutions with bounded degree can be obtained. New theoretical and numerical results are provided in this problem area of systems and control and are summarized in the following. First, a new algorithm for the scalar covariance extension problem formulated in terms of periodic ARMA models is given and its local convergence is demonstrated. The algorithm is formally extended for vector processes and applied to finite-interval model approximation and smoothing problems. Secondly, a general existence result is established for a multivariate spectral estimation problem formulated in a parametric fashion. Efforts are also made to attack the difficult uniqueness question and some preliminary results are obtained. Moreover, well-posedness in a special case is studied throughly, based on which a numerical continuation solver is developed with a provable convergence property. In addition, it is shown that solution to the spectral estimation problem is generally not unique in another parametric family of rational spectra that is advocated in the literature. Thirdly, the problem of image deblurring is formulated and solved in the framework of the multidimensional moment theory with a quadratic penalty as regularization

Novel Results on the Factorization and Estimation of Spectral Densities

This dissertation is divided into two main parts. The first part is concerned with one of the most classical and central problems in Systems and Control Theory, namely the factorization of rational matrix-valued spectral densities, commonly known as the spectral factorization problem. Spectral factorization is a fundamental tool for the solution of a variety of problems involving second-order statistics and quadratic cost functions in control, estimation, signal processing and communications. It can be thought of as the frequency-domain counterpart of the ubiquitous Algebraic Riccati Equation and it is intimately connected with the celebrated Kálmán-Yakubovich-Popov Lemma and, therefore, to passivity theory. Here, we provide a rather in-depth and comprehensive analysis of this problem in the discrete-time setting, a scenario which is becoming increasingly pervasive in control applications. The starting point in our analysis is a general spectral factorization result in the same vein of Dante C. Youla. Building on this fundamental result, we then investigate some key issues related to minimality and parametrization of minimal spectral factors of a given spectral density. To conclude, we show how to extend some of the ideas and results to the more general indefinite or J-spectral factorization problem, a technique of paramount importance in robust control and estimation theory. In the second part of the dissertation, we consider the problem of estimating a spectral density from a finite set of measurements. Following the Byrnes-Georgiou-Lindquist THREE (Tunable High REsolution Estimation) paradigm, we look at spectral estimation as an optimization problem subjected to a generalized moment constraint. In this framework, we examine the global convergence of an efficient algorithm for the estimation of scalar spectral densities that hinges on the Kullback-Leibler criterion. We then move to the multivariate setting by addressing the delicate issue of existence of solutions to a parametric spectral estimation problem. Eventually, we study the geometry of the space of spectral densities by revisiting two natural distances defined in cones for the case of rational spectra. These new distances are used to formulate a "robust" version of THREE-like spectral estimation

Multivariate moment problems with applications to spectral estimation and physical layer security in wireless communications

This thesis focuses on generalized moment problems and their applications in the framework of information engineering. Its contribution is twofold. The first part of this dissertation proposes two new techniques for tackling multivariate spectral estimation, which is a key topic in system identification: Relative entropy rate estimation and multivariate circulant rational covariance extension. The former provides a very natural multivariate extension of a state-of-the-art approach for scalar parametric spectral estimation with a complexity bound, known as THREE (Tunable High-Resolution Estimator). It allows to take into account available a priori information on the spectral density. It exhibits high resolution features and it is robust in case of short data records. As for multivariate circulant rational covariance extension, it is a new convex optimization approach to spectral estimation for periodic multivariate processes, in which the computation of the solution can be tackled efficiently by means of Fast Fourier Transform. Numerical examples show that this procedure also provides an efficient tool for approximating regular covariance extension for multivariate processes. The second part of this dissertation considers the problem of deriving a universal performance bound for a message source authentication scheme based on channel estimates in a wireless fading scenario, where an attacker may have correlated observations available and possibly unbounded computational power. Under the assumption that the channels are represented by multivariate complex Gaussian variables, it is proved that the tightest bound corresponds to a forging strategy that produces a zero mean signal that is jointly Gaussian with the attacker observations. A characterization of their joint covariance matrix is derived through the solution of a system of two nonlinear matrix equations. Based upon this characterization, the thesis proposes an efficient iterative algorithm for its computation: The solution to the matricial system appears as fixed point of the iteration. Numerical examples suggest that this procedure is effective in assessing worst case channel authentication performance

Ahlfors circle maps and total reality: from Riemann to Rohlin

This is a prejudiced survey on the Ahlfors (extremal) function and the weaker {\it circle maps} (Garabedian-Schiffer's translation of "Kreisabbildung"), i.e. those (branched) maps effecting the conformal representation upon the disc of a {\it compact bordered Riemann surface}. The theory in question has some well-known intersection with real algebraic geometry, especially Klein's ortho-symmetric curves via the paradigm of {\it total reality}. This leads to a gallery of pictures quite pleasant to visit of which we have attempted to trace the simplest representatives. This drifted us toward some electrodynamic motions along real circuits of dividing curves perhaps reminiscent of Kepler's planetary motions along ellipses. The ultimate origin of circle maps is of course to be traced back to Riemann's Thesis 1851 as well as his 1857 Nachlass. Apart from an abrupt claim by Teichm\"uller 1941 that everything is to be found in Klein (what we failed to assess on printed evidence), the pivotal contribution belongs to Ahlfors 1950 supplying an existence-proof of circle maps, as well as an analysis of an allied function-theoretic extremal problem. Works by Yamada 1978--2001, Gouma 1998 and Coppens 2011 suggest sharper degree controls than available in Ahlfors' era. Accordingly, our partisan belief is that much remains to be clarified regarding the foundation and optimal control of Ahlfors circle maps. The game of sharp estimation may look narrow-minded "Absch\"atzungsmathematik" alike, yet the philosophical outcome is as usual to contemplate how conformal and algebraic geometry are fighting together for the soul of Riemann surfaces. A second part explores the connection with Hilbert's 16th as envisioned by Rohlin 1978.Comment: 675 pages, 199 figures; extended version of the former text (v.1) by including now Rohlin's theory (v.2

Control Theory: On the Way to New Application Fields

Control theory is an interdisciplinary field that is located at the crossroads of pure and applied mathematics with systems engineering and the sciences. Recently, deep interactions are emerging with new application areas, such as systems biology, quantum control and information technology. In order to address the new challenges posed by the new application disciplines, a special focus of this workshop has been on the interaction between control theory and mathematical systems biology. To complement these more biology oriented focus, a series of lectures in this workshop was devoted to the control of networks of systems, fundamentals of nonlinear control systems, model reduction and identification, algorithmic aspects in control, as well as open problems in control

Mathematical and Numerical Aspects of Dynamical System Analysis

From Preface: This is the fourteenth time when the conference “Dynamical Systems: Theory and Applications” gathers a numerous group of outstanding scientists and engineers, who deal with widely understood problems of theoretical and applied dynamics. Organization of the conference would not have been possible without a great effort of the staff of the Department of Automation, Biomechanics and Mechatronics. The patronage over the conference has been taken by the Committee of Mechanics of the Polish Academy of Sciences and Ministry of Science and Higher Education of Poland. It is a great pleasure that our invitation has been accepted by recording in the history of our conference number of people, including good colleagues and friends as well as a large group of researchers and scientists, who decided to participate in the conference for the first time. With proud and satisfaction we welcomed over 180 persons from 31 countries all over the world. They decided to share the results of their research and many years experiences in a discipline of dynamical systems by submitting many very interesting papers. This year, the DSTA Conference Proceedings were split into three volumes entitled “Dynamical Systems” with respective subtitles: Vibration, Control and Stability of Dynamical Systems; Mathematical and Numerical Aspects of Dynamical System Analysis and Engineering Dynamics and Life Sciences. Additionally, there will be also published two volumes of Springer Proceedings in Mathematics and Statistics entitled “Dynamical Systems in Theoretical Perspective” and “Dynamical Systems in Applications”