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Block-Toeplitz/Hankel structured total least squares

Block-Toeplitz/Hankel structured total least squares
Block-Toeplitz/Hankel structured total least squares
A multivariate structured total least squares problem is considered, in which the extended data matrix is partitioned into blocks and each of the blocks is block-Toeplitz/Hankel structured, unstructured, or noise free. An equivalent optimization problem is derived and its properties are established. The special structure of the equivalent problem enables to improve the computational efficiency of the numerical solution via local optimization methods. By exploiting the structure, the computational complexity of the algorithms per iteration is linear in the sample size. Application of the method for system identification and for model reduction is illustrated by simulation examples.
1083-1099
Markovsky, I.
3e68743b-f22e-4b2b-b1a8-2ba4eb036a69
Van Huffel, S.
e64be3d0-00e1-4900-ab8e-74aed4792678
Pintelon, R.
4c9f21b0-f905-49fb-8163-57e410bbc974
Markovsky, I.
3e68743b-f22e-4b2b-b1a8-2ba4eb036a69
Van Huffel, S.
e64be3d0-00e1-4900-ab8e-74aed4792678
Pintelon, R.
4c9f21b0-f905-49fb-8163-57e410bbc974

Markovsky, I., Van Huffel, S. and Pintelon, R. (2005) Block-Toeplitz/Hankel structured total least squares. SIAM Journal on Matrix Analysis and Applications, 26 (4), 1083-1099.

Record type: Article

Abstract

A multivariate structured total least squares problem is considered, in which the extended data matrix is partitioned into blocks and each of the blocks is block-Toeplitz/Hankel structured, unstructured, or noise free. An equivalent optimization problem is derived and its properties are established. The special structure of the equivalent problem enables to improve the computational efficiency of the numerical solution via local optimization methods. By exploiting the structure, the computational complexity of the algorithms per iteration is linear in the sample size. Application of the method for system identification and for model reduction is illustrated by simulation examples.

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Published date: 2005
Organisations: Southampton Wireless Group

Identifiers

Local EPrints ID: 263298
URI: https://eprints.soton.ac.uk/id/eprint/263298
PURE UUID: 6a89c4c3-4730-48f3-9bf6-c5759707b3bd

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Date deposited: 06 Jan 2007
Last modified: 19 Jul 2019 22:29

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