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Maximum entropy spectrum estimation from noisy correlation measurements

A computational method has been developed for solving the maximum entropy spectrum estimation with uncertainty in the correlation measurements This approach depends on first solving an unconstrained optimization problem and then an iterative search for the zero of the constraint equation along a well-defined trajectory. This trajectory is governed by a system of differential equations and the unconstrained optimal solution as the initial condition. The direction of search can be determined easily by evaluating the constraint equation at each iteration. In solving the trajectory, the Gauss-Seidel iterative algorithm is used to solve the symmetric system of equations. The choice of the previous estimate as the initial estimate greatly accelerates the convergence rate of this scheme.