Concept

Cross-covariance matrix

Related publications (37)

Multi-Period Portfolio Optimization: Translation of Autocorrelation Risk to Excess Variance

Growth-optimal portfolios are guaranteed to accumulate higher wealth than any other investment strategy in the long run. However, they tend to be risky in the short term. For serially uncorrelated markets, similar portfolios with more robust guarantees hav ...

2016

Optimal acoustic rake receiver

Martin Vetterli, Ivan Dokmanic, Robin Scheibler

An acoustic processing method for M acoustic receivers comprising the steps of: Determining a beamforming weight vector with M weights for the M acoustic receivers based on at least one the steering vector of at least one real acoustic source, on steering ...

2016

Dimensionality Reduction in Dynamic Optimization under Uncertainty

Napat Rujeerapaiboon

Dynamic optimization problems affected by uncertainty are ubiquitous in many application domains. Decision makers typically model the uncertainty through random variables governed by a probability distribution. If the distribution is precisely known, then ...

EPFL2016

Estimation of Space-Time Varying Parameters Using a Diffusion LMS Algorithm

Ali H. Sayed

We study the problem of distributed adaptive estimation over networks where nodes cooperate to estimate physical parameters that can vary over both space and time domains. We use a set of basis functions to characterize the space-varying nature of the para ...

2014

Manifold Sparse Beamforming

Volkan Cevher, Afsaneh Asaei, Baran Gözcü

We consider the minimum variance distortionless response (MVDR) beamforming problems where the array covariance matrix is rank deficient. The conventional approach handles such rank-deficiencies via diagonal loading on the covariance matrix. In this settin ...

2013

Manifold Sparse Beamforming

Volkan Cevher, Afsaneh Asaei, Baran Gözcü

IEEE2013

On the probability distribution of distributed optimization strategies

Ali H. Sayed

We study the steady-state probability distribution of diffusion and consensus strategies that employ constant step-sizes to enable continuous adaptation and learning. We show that, in the small step-size regime, the estimation error at each agent approache ...

IEEE2013

Investigating Reliability on Fuel Cell Model Identification. Part III: Behavior of Assessment Criteria and Limits in Identification

Daniel Favrat, Jan Van Herle, Leonidas Tsikonis

The present paper is the third and last part of an investigation on what determines reliability in fuel cell model identification. In continuation to the effect of experimental design (Part I) and a process method for stochastic calculation of a model's pa ...

Wiley-V C H Verlag Gmbh2013

Multiple signal classification technique for phase estimation from a fringe pattern

Pramod Rastogi

The paper introduces a multiple signal classification technique based method for fringe analysis. In the proposed method, the phase of a fringe pattern is locally approximated as a polynomial. The polynomial phase signal is then transformed to obtain signa ...

Optical Society of America2012

A Probabilistic Approach of Sum Rules for Heat Polynomials

Olivier Lévêque

In this paper, we show that the sum rules for generalized Hermite polynomials derived by Daboul and Mizrahi (2005 J. Phys. A: Math. Gen. 38 427-48) and by Graczyk and Nowak (2004 C. R. Acad. Sci., Ser. 1 338 849) can be interpreted and easily recovered usi ...

2012

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