The minimum cross entropy spectral analysis procedure (a generalization of maximum entropy spectral analysis) is formulated as a convex programming problem, and its unconstrained dual convex programming problem is shown. In this dual setting the Lagrange multipliers are precisely the dual variables, and the numerical solution values are easily determined by any of a number of nonlinear programming codes. This result vastly simplifies the computation of all such spectral density estimates.
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Brockett et al. (1986) studied this question.
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