140 citations · 658 across the 113 of their papers we have counts for
3 papers · 2 filters
Geometric methods for estimation of structured covariances
Lipeng Ning, Xianhua Jiang, Tryphon Georgiou
We consider problems of estimation of structured covariance matrices, and in particular of matrices with a Toeplitz structure. We follow a geometric viewpoint that is based on some…
Distances and Riemannian metrics for multivariate spectral densities
Xianhua Jiang, Lipeng Ning, Tryphon T. Georgiou
We first introduce a class of divergence measures between power spectral density matrices. These are derived by comparing the suitability of different models in the context of opti…
The Separation Principle in Stochastic Control, Redux
Tryphon T. Georgiou, Anders Lindquist
Over the last 50 years a steady stream of accounts have been written on the separation principle of stochastic control. Even in the context of the linear-quadratic regulator in con…