I 306 Eee Transactions on Automatic Control
نویسنده
چکیده
Abslracf-TES (hmsform-expand-sample) is a versatile class of stationary stochastic proeeesea which can model arbitrary marginnls, a wide variety of autocorreLtion funcths, and a brod range of sample path behaviors. TES parameters are of two weds: the 6rst kind is used for the exact fitting of the empirical distributiom &Wog”), while the second kind is used for appmximafhg the empirical antm”lation function. Parameters of the first kind are easy to determine PLgOrithmieplly, but thoseofthesecomlkindreq~aherdbeuriet icsesrehonatrrge parametric function space. This paper deserlbes M dgorithmk procedure which can replace the heuristle search, thereby largely automating TES modem. The algorithm Is cast in noalIaear prosrsmming setting with the objective of “ s z i n g a weighted sum of squad dinerences between the empiricpl autoeomlr(i0ns and thdr candhte TES model counterparts. It combimes a brutc-lorce search with steepestdeacent nonlinear prograuamlng using zoutendijk’s f d & direetion method. FinaEly, we illustrate the eillepey of OIW: approach via three examples: two from the domain of VBR (variable bit rate) compreaoed video and one representing results from a l m r intensity enperiment. -
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