Abstract

We show that a simple geometric result suffices to derive the form of the optimal solution in a large class of finite and infinite-dimensional maximum entropy problems concerning probability distributions, spectral densities and covariance matrices. These include Burg’s spectral estimation method and Dempster’s covariance completion, as well as various recent generalizations of the above.

Short Biography: Michele Pavon was born in Venice, Italy, on October 12, 1950. He received the Laurea degree from the University of Padova, Padova, Italy, in 1974, and the Ph.D. degree from the University of Kentucky, Lexington, Kentucky, U.S.A. in 1979, both in mathematics. He was then on the research staff of LADSEB -CNR, Padua, Padua,Italy, for six years. Since July 1986, he has been a Professor at the College of Engineering, the University of Padova. He has worked for a number of years on such topics as: Stochastic realization, linear recursive estimation, optimal stochastic control and Nelson’s stochastic mechanics. His present research interests include spectral estimation,maximum entropy problems and quantum control.