标题：NEW ITERATIVE ALGORITHM FOR THE COMPUTATION OF THE RANK-DEFICIENT CAPON FILTER IN SPECTRAL ESTIMATION
作者：Gao Zhijeng; Peng Yu; Peng Xiyuan
作者机构：[Gao Zhijeng; Peng Yu; Peng Xiyuan] Harbin Inst Technol, Automat Test & Control Inst, Harbin 150006, Peoples R China.; [Gao Zhijeng] Shandong Univ, 更多
会议名称：12th IEEE International Conference on Signal Processing (ICSP)
会议日期：OCT 19-23, 2014
来源：2014 12TH INTERNATIONAL CONFERENCE ON SIGNAL PROCESSING (ICSP)
关键词：Iterative algorithm; rank-deficient matrix; robust Capon filter;; conjugate gradient method
摘要：In nonparametric complex spectral estimation, higher resolution is achieved when the covariance matrix is allowed to be rank-deficient. Several approaches are applied to remedy matrix singularity, such as diagonal loading, rank reduction and additional constraints. Conventional solution of the optimal Capon filter is derived from the gradient functions of the constraint minimization problem, and calculated via the input covariance matrix inversion. In this paper, the gradient functions are reformulated as a single one with the same solution, which is solved by an adaptive-step algorithm based on conjugate gradient method. The optimal Capon filter is iteratively calculated without any matrix inversion. The proposed algorithm is also directly applied to the computation of the optimal Capon filter with rank-deficient input covariance matrix. In simulations, performances of the proposed algorithm are compared with the existing methods. Higher convergence speed is achieved. The iteration number is selected to offset the frequency resolution and the signal mismatch problem.