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- Augusto Ferrante, Chiara Masiero, Michele Pavon
- IEEE Transactions on Automatic Control
- 2012

The concept of spectral relative entropy rate is introduced for jointly stationary Gaussian processes. Using classical information-theoretic results, we establish a remarkable connection between timeâ€¦ (More)

- Federico A. Ramponi, Augusto Ferrante, Michele Pavon
- IEEE Transactions on Automatic Control
- 2009

In this paper, we first describe a matricial Newton-type algorithm designed to solve the multivariable spectrum approximation problem. We then prove its global convergence. Finally, we apply thisâ€¦ (More)

- Michele Pavon, Augusto Ferrante
- IEEE Transactions on Automatic Control
- 2006

We consider the Georgiou-Lindquist constrained approximation of spectra in the Kullback-Leibler sense. We propose an alternative iterative algorithm to solve the corresponding convex optimizationâ€¦ (More)

- Yongxin Chen, Tryphon T. Georgiou, Michele Pavon
- IEEE Transactions on Automatic Control
- 2016

We consider the problem of steering a linear dynamical system with complete state observation from an initial Gaussian distribution in state-space to a final one with minimum energy control. Theâ€¦ (More)

- Augusto Ferrante, Michele Pavon, Federico A. Ramponi
- IEEE Transactions on Automatic Control
- 2008

In this paper, we study a matricial version of a generalized moment problem with degree constraint. We introduce a new metric on multivariable spectral densities induced by the family of theirâ€¦ (More)

- Michele Pavon, Augusto Ferrante
- SIAM Review
- 2013

We show that a simple geometric result suffices to derive the form of the optimal solution in a large class of finiteand infinite-dimensional maximum entropy problems concerning probabilityâ€¦ (More)

Difference equations of the form X ( t ) = F * ( t ) X ( t 1 ) F ( t ) F * ( t ) X ( t 1)G(t)[ l + G * ( t ) X ( t 1)G(t)]t G * ( t ) X ( t 1)F(t)+ Q(t ) and their associated Hermitian matrices H ( tâ€¦ (More)

- Augusto Ferrante, Michele Pavon
- IEEE Transactions on Information Theory
- 2011

Dempster's covariance selection method is extended first to general nonsingular matrices and then to full rank rectangular matrices. Dempster observed that his completion solved a maximum entropyâ€¦ (More)

- Anders Lindquist, Michele Pavon
- 1981 20th IEEE Conference on Decision and Controlâ€¦
- 1981

In a series of papers Lindquist and Picci [13- 19] have developed an abstract theory of stochastic realization for continuous-time stationary (and stationary increment) Gaussian vector processes,â€¦ (More)

- Francesca P. Carli, Augusto Ferrante, Michele Pavon, Giorgio Picci
- IEEE Transactions on Automatic Control
- 2011

Stationary reciprocal processes defined on a finite interval of the integer line can be seen as a special class of Markov random fields restricted to one dimension. Nonstationary reciprocal processesâ€¦ (More)